Optimal investment under partial information
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Publication:966433
DOI10.1007/s00186-010-0301-xzbMath1189.49053OpenAlexW2253832899MaRDI QIDQ966433
Mark H. A. Davis, Camilla Landén, Thomas Björk
Publication date: 23 April 2010
Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)
Full work available at URL: http://swopec.hhs.se/hastef/papers/hastef0739.pdf
Control/observation systems with incomplete information (93C41) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80) Portfolio theory (91G10) Problems with incomplete information (optimization) (49N30)
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