Consumption-portfolio optimization and filtering in a hidden Markov-modulated asset price model (Q2358467)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Consumption-portfolio optimization and filtering in a hidden Markov-modulated asset price model |
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Consumption-portfolio optimization and filtering in a hidden Markov-modulated asset price model (English)
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15 June 2017
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consumption-portfolio optimization
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hidden Markov chain
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model uncertainty
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innovations approach
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filtering
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stochastic maximum principle
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