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Anticipative portfolio optimization - MaRDI portal

Anticipative portfolio optimization (Q4332212)

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scientific article; zbMATH DE number 977984
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English
Anticipative portfolio optimization
scientific article; zbMATH DE number 977984

    Statements

    title
    Anticipative portfolio optimization (English)
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    author
    Igor Pikovsky
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    Ioannis Karatzas
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    publication date
    13 February 1997
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    zbMATH Keywords
    relative entropy
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    stochastic control problem
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    financial economics
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    Brownian motion
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    enlargement of filtrations
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    optimal portfolio
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    Identifiers

    DOI
    10.2307/1428166
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    Mathematics Subject Classification ID
    91G10
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    93E20
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    60H30
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    60G44
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    91B38
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    91B44
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    zbMATH DE Number
    977984
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    OpenAlex ID
    W2320684320
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