A Benchmark Approach to Portfolio Optimization under Partial Information
Year of publication: |
2007
|
---|---|
Authors: | Platen, Eckhard ; Runggaldier, Wolfgang |
Published in: |
Asia-Pacific Financial Markets. - Springer, ISSN 1387-2834. - Vol. 14.2007, 1, p. 25-43
|
Publisher: |
Springer |
Subject: | Portfolio optimization | Partial information | Filtering | Growth optimal portfolio | Expected utility maximization | Utility indifference pricing | Real world pricing formula | Primary 90A12 | Secondary 60G30 |
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