Optimal investment under dynamic risk constraints and partial information

DOI10.1080/14697680903193413zbMath1258.91205OpenAlexW1990408912MaRDI QIDQ4911229

Wolfgang Putschögl, Jörn Sass

Publication date: 14 March 2013

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697680903193413

zbMATH Keywords

hidden Markov modelportfolio optimizationutility maximizationpartial informationrisk constraintslimited expected shortfall

Mathematics Subject Classification ID

Utility theory (91B16) Portfolio theory (91G10)

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