Expert opinions and logarithmic utility maximization for multivariate stock returns with Gaussian drift
Year of publication: |
June 2017
|
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Authors: | Sass, Jörn ; Westphal, Dorothee ; Wunderlich, Ralf |
Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 20.2017, 4, p. 1-41
|
Subject: | Conditional covariance matrix | Ornstein-Uhlenbeck process | partial information | portfolio optimization | unbiased expert opinions | Theorie | Theory | Portfolio-Management | Portfolio selection | Kapitaleinkommen | Capital income | Experten | Experts |
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