Mean-variance portfolio selection under partial information with drift uncertainty
Year of publication: |
2021
|
---|---|
Authors: | Xiong, Jie ; Xu, Zuo Quan ; Zheng, Jiayu |
Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 21.2021, 9, p. 1461-1473
|
Subject: | Drift uncertainty | Malliavin calculus | Mean-variance portfolio selection | Partial information | Portfolio-Management | Portfolio selection | Theorie | Theory | Risiko | Risk | Unvollkommene Information | Incomplete information |
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