A generalized Cameron-Martin formula with applications to partially observed dynamic portfolio optimization
Year of publication: |
2001
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Authors: | Zohar, Gady |
Published in: |
Mathematical finance : an international journal of mathematics, statistics and financial theory. - Malden, Mass. [u.a] : Wiley-Blackwell, ISSN 0960-1627, ZDB-ID 1073194-5. - Vol. 11.2001, 4, p. 475-494
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Subject: | Portfolio-Management | Portfolio selection | Dynamische Optimierung | Dynamic programming | Nutzenfunktion | Utility function | Theorie | Theory |
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