Mean-Variance Portfolio Selection for Partially Observed Point Processes (Q5136123)
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scientific article; zbMATH DE number 7277848
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Mean-Variance Portfolio Selection for Partially Observed Point Processes |
scientific article; zbMATH DE number 7277848 |
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Mean-Variance Portfolio Selection for Partially Observed Point Processes (English)
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25 November 2020
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nonlinear filtering
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maximum principle
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forward-backward stochastic differential equations
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point process
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market microstructure noise
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partial information
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ultrahigh frequency data
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