Portfolio management in a stochastic factor model under the existence of private information (Q5234117)
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scientific article; zbMATH DE number 7110056
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Portfolio management in a stochastic factor model under the existence of private information |
scientific article; zbMATH DE number 7110056 |
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Portfolio management in a stochastic factor model under the existence of private information (English)
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25 September 2019
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portfolio management
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stochastic factor model
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initial enlargement of filtrations
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Hamilton-Jacobi-Bellman equation
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Euler-Maruyama scheme
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