Portfolio management in a stochastic factor model under the existence of private information
Year of publication: |
2019
|
---|---|
Authors: | Baltas, Ioannis ; Yannacopoulos, Athanasios N. |
Published in: |
IMA journal of management mathematics. - Oxford : Univ. Press, ISSN 1471-6798, ZDB-ID 2045093-X. - Vol. 30.2019, 1, p. 77-103
|
Subject: | portfolio management | stochastic factor model | initial enlargement of filtrations | Hamilton–Jacobi–Bellman equation | Euler–Maruyama scheme | Portfolio-Management | Portfolio selection | Theorie | Theory | Stochastischer Prozess | Stochastic process | Faktorenanalyse | Factor analysis | Schätzung | Estimation |
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