Portfolio optimization under partial information with expert opinions
Year of publication: |
2012
|
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Authors: | Frey, Rüdiger ; Gabih, Abdelali ; Wunderlich, Ralf |
Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 15.2012, 1, p. 1-18
|
Subject: | Portfolio optimization | hidden Markov model | dynamic programming | Portfolio-Management | Portfolio selection | Theorie | Theory | Markov-Kette | Markov chain | Mathematische Optimierung | Mathematical programming | Dynamische Optimierung | Dynamic programming | Unvollkommene Information | Incomplete information |
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