EXPERT OPINIONS AND LOGARITHMIC UTILITY MAXIMIZATION FOR MULTIVARIATE STOCK RETURNS WITH GAUSSIAN DRIFT (Q5281724)
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scientific article; zbMATH DE number 6752343
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | EXPERT OPINIONS AND LOGARITHMIC UTILITY MAXIMIZATION FOR MULTIVARIATE STOCK RETURNS WITH GAUSSIAN DRIFT |
scientific article; zbMATH DE number 6752343 |
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EXPERT OPINIONS AND LOGARITHMIC UTILITY MAXIMIZATION FOR MULTIVARIATE STOCK RETURNS WITH GAUSSIAN DRIFT (English)
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26 July 2017
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conditional covariance matrix
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Ornstein-Uhlenbeck process
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partial information
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portfolio optimization
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unbiased expert opinions
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