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Defaultable claims in switching models with partial information
Gapeev, Pavel V.; Jeanblanc, Monique - In: International journal of theoretical and applied finance 22 (2019) 4, pp. 1-18
Persistent link: https://www.econbiz.de/10012030897
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A two-player zero-sum game where only one player observes a Brownian motion
Gensbittel, Fabien; Rainer, Catherine - In: Dynamic games and applications : DGA 8 (2018) 2, pp. 280-314
Persistent link: https://www.econbiz.de/10012101110
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Optimal trend following trading rules
Dai, Min; Yang, Zhou; Zhang, Qing; Zhu, Qiji Jim - In: Mathematics of operations research 41 (2016) 2, pp. 626-642
Persistent link: https://www.econbiz.de/10011520506
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Continuous-time portfolio optimization under partial information and convex constraints : deriving explicit results
Vonwirth, Christian - 2017
Persistent link: https://www.econbiz.de/10012659449
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Bias, information, noise : the BIN model of forecasting
Satopää, Ville A.; Salikhov, Marat; Tetlock, Philip E.; … - In: Management science : journal of the Institute for … 67 (2021) 12, pp. 7599-7618
Persistent link: https://www.econbiz.de/10012815391
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Optimal policy with general signal extraction
Hauk, Esther; Lanteri, Andrea; Marcet, Albert - 2016
Persistent link: https://www.econbiz.de/10011607138
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Optimal investment and risk control for an isurer with partial information in an anticipating environment
Peng, Xingchun; Chen, Fenge; Wang, Wenyuan - In: Scandinavian actuarial journal (2018) 10, pp. 933-952
Persistent link: https://www.econbiz.de/10011939800
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Optimal acquisition decision in a remanufacturing system with partial random yield information
Yang, Cheng-Hu; Ma, Xin; Talluri, Srinivas - In: International journal of production research 57 (2019) 6, pp. 1624-1644
Persistent link: https://www.econbiz.de/10012183903
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On mean-variance hedging under partial observations and terminal wealth constraints
Makogin, Vitalii; Melʹnikov, Aleksandr V.; Mišura, … - In: International journal of theoretical and applied finance 20 (2017) 5, pp. 1-21
Persistent link: https://www.econbiz.de/10011734050
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Optimal policy with general signal extraction
Hauk, Esther; Lanteri, Andrea; Marcet, Albert - 2016
We study optimal policy when the planner has partial information in a general setup where observed signals are endogenous to policy. In this context, signal extraction and policy have to be determined jointly. We derive a general non-standard first order condition of optimality from first...
Persistent link: https://www.econbiz.de/10011617351