Optimal investment in markets with over and under-reaction to information
Year of publication: |
June 2017
|
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Authors: | Callegaro, Giorgia ; Gaïgi, M’hamed ; Scotti, Simone ; Sgarra, Carlo |
Published in: |
Mathematics and financial economics. - Berlin : Springer, ISSN 1862-9679, ZDB-ID 2389728-4. - Vol. 11.2017, 3, p. 299-322
|
Subject: | Jump-diffusion models | Portfolio optimization | Nonlinear filtering | Enlargement of filtrations | Over and under-reaction | Theorie | Theory | Portfolio-Management | Portfolio selection |
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