Active and passive portfolio management with latent factors
Year of publication: |
2021
|
---|---|
Authors: | Al-Aradi, Ali ; Jaimungal, S. |
Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 21.2021, 9, p. 1437-1459
|
Subject: | Convex analysis | Growth optimal portfolio | Hidden Markov models | Optimal control | Partial information | Portfolio choice | Theorie | Theory | Portfolio-Management | Portfolio selection | Markov-Kette | Markov chain |
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