Power utility maximization with expert opinions at fixed arrival times in a market with hidden Gaussian drift (Q6644365)
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scientific article; zbMATH DE number 7950219
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Power utility maximization with expert opinions at fixed arrival times in a market with hidden Gaussian drift |
scientific article; zbMATH DE number 7950219 |
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Power utility maximization with expert opinions at fixed arrival times in a market with hidden Gaussian drift (English)
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27 November 2024
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power utility maximization
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partial information
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stochastic optimal control
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Kalman-Bucy filter
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expert opinions
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Black-Litterman model
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