A benchmark approach to filtering in finance

DOI10.1007/s10690-005-4301-4zbMath1075.91023OpenAlexW2094174937MaRDI QIDQ2575441

Wolfgang J. Runggaldier, Eckhard Platen

Publication date: 9 December 2005

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10453/5230

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Stochastic processes (60G99)

Related Items

Risk‐sensitive benchmarked asset management with expert forecasts ⋮ A benchmark approach to portfolio optimization under partial information ⋮ On the Distributional Characterization of Daily Log‐Returns of a World Stock Index ⋮ Diffusion-Based Models for Financial Markets Without Martingale Measures

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