Mean-Variance Portfolio Selection for Partially Observed Point Processes
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Publication:5136123
DOI10.1137/19M1265491zbMath1476.91162OpenAlexW3097023584MaRDI QIDQ5136123
Yong Zeng, Shuaiqi Zhang, Jie Xiong
Publication date: 25 November 2020
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/19m1265491
maximum principlenonlinear filteringpoint processpartial informationforward-backward stochastic differential equationsmarket microstructure noiseultrahigh frequency data
Signal detection and filtering (aspects of stochastic processes) (60G35) Stochastic integrals (60H05) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Portfolio theory (91G10)
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