Portfolio optimization under partial information and convex constraints in a hidden Markov model
Year of publication: |
2006
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Authors: | Sass, Jörn |
Published in: |
Operations research proceedings 2005 : selected papers of the Annual International Conference of the German Operations Research Society (GOR), Bremen, September 7 - 9, 2005. - Berlin : Springer, ISBN 3-540-32537-9. - 2006, p. 223-228
|
Subject: | Portfolio-Management | Portfolio selection | Börsenkurs | Share price | Unvollkommene Information | Incomplete information | Markov-Kette | Markov chain | Theorie | Theory |
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