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Risk‐sensitive benchmarked asset management with expert forecasts - MaRDI portal

Risk‐sensitive benchmarked asset management with expert forecasts (Q6054376)

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scientific article; zbMATH DE number 7743032
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English
Risk‐sensitive benchmarked asset management with expert forecasts
scientific article; zbMATH DE number 7743032

    Statements

    title
    Risk‐sensitive benchmarked asset management with expert forecasts (English)
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    author
    Mark H. A. Davis
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    Sébastien Lleo
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    publication date
    28 September 2023
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    zbMATH Keywords
    active management
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    benchmark
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    expert opinions
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    Kalman filter
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    Kelly criterion
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    risk-sensitive stochastic control
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    Identifiers

    DOI
    10.1111/mafi.12310
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    zbMATH DE Number
    7743032
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    OpenAlex ID
    W3164738250
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