The value of knowing the market price of risk
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Publication:2241058
DOI10.1007/s10479-020-03596-7zbMath1476.91144arXiv1909.07837OpenAlexW3140112672MaRDI QIDQ2241058
Marco Nicolosi, Katia Colaneri, Stefano Herzel
Publication date: 8 November 2021
Published in: Annals of Operations Research (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1909.07837
Optimal stochastic control (93E20) Martingales with continuous parameter (60G44) Portfolio theory (91G10)
Related Items (2)
Diffusion approximations for periodically arriving expert opinions in a financial market with Gaussian drift ⋮ Implicit incentives for fund managers with partial information
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