Portfolio choice, portfolio liquidation, and portfolio transition under drift uncertainty
Year of publication: |
2019
|
---|---|
Authors: | Bismuth, Alexis ; Guéant, Olivier ; Pu, Jiang |
Published in: |
Mathematics and financial economics. - Berlin : Springer, ISSN 1862-9679, ZDB-ID 2389728-4. - Vol. 13.2019, 4, p. 661-719
|
Subject: | Bayesian learning | Hamilton-Jacobi-Bellman equations | Online learning | Optimal execution | Optimal portfolio choice | Optimal portfolio liquidation | Optimal portfolio transition | Stochastic optimal control | Theorie | Theory | Portfolio-Management | Portfolio selection | Lernprozess | Learning process | Mathematische Optimierung | Mathematical programming |
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