Expected log-utility maximization under incomplete information and with Cox-process observations
Kazufumi Fujimoto; Hideo Nagai; Wolfgang J. Runggaldier
| Year of publication: |
2014
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|---|---|
| Authors: | Fujimoto, Kazufumi ; Nagai, Hideo ; Runggaldier, Wolfgang J. |
| Published in: |
Asia-Pacific financial markets. - Dordrecht [u.a.] : Springer, ISSN 1387-2834, ZDB-ID 1431844-1. - Vol. 21.2014, 1, p. 35-66
|
| Subject: | Portfolio optimization | Stochastic control | Incomplete information | Regime-switching models | Cox-process observations | Random trading times | Unvollkommene Information | Portfolio-Management | Portfolio selection | Stochastischer Prozess | Stochastic process | Markov-Kette | Markov chain | Kontrolltheorie | Control theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010358462