Portfolio optimization for a large investor under partial information and price impact
Zehra Eksi, Hyejin Ku
| Year of publication: |
December 2017
|
|---|---|
| Authors: | Eksi, Zehra ; Ku, Hyejin |
| Published in: |
Mathematical methods of operations research. - Berlin : Springer, ISSN 1432-2994, ZDB-ID 1310695-8. - Vol. 86.2017, 3, p. 601-623
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| Subject: | portfolio optimization | Markov-modulation | Stochastic control | Partial information | Large investor | Price impact | Filtering | Portfolio-Management | Portfolio selection | Stochastischer Prozess | Stochastic process | Unvollkommene Information | Incomplete information | Börsenkurs | Share price | Kontrolltheorie | Control theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s00186-017-0589-x [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011793402