Portfolio optimization in discontinuous markets under incomplete information
type: Item
instance of: scholarly article
title: Portfolio optimization in discontinuous markets under incomplete information
zbMATH Open document ID: 1124.93068
author: Giorgia Callegaro
author: Wolfgang J. Runggaldier
author: Giovanni Di Masi
published in: Asia-Pacific Financial Markets
publication date: 2007-11-27T00:00:00Z
Mathematics Subject Classification ID: 93E20
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 93C41
zbMATH DE Number: 5214745
zbMATH Keywords: portfolio optimization
zbMATH Keywords: stochastic control
zbMATH Keywords: discontinuous markets
zbMATH Keywords: incomplete information
MaRDI profile type: Publication
full work available at URL: s10690-007-9050-0
OpenAlex ID: W2088189605
cites work: Point processes and queues. Martingale dynamics
cites work: Q3136505
cites work: A NONLINEAR FILTERING APPROACH TO VOLATILITY ESTIMATION WITH A VIEW TOWARDS HIGH FREQUENCY DATA
cites work: Intensity process and compensator: A new filtration expansion approach and the Jeulin-Yor theorem
cites work: Efficient Hedging When Asset Prices Follow A Geometric Poisson Process With Unknown Intensities
cites work: Q5566063
cites work: Risk-sensitive dynamic portfolio optimization with partial information on infinite time horizon.
cites work: Q3509355
cites work: Q3511646
cites work: Q4657108
cites work: Optimal investment in incomplete markets when wealth may become negative.
DOI: 10.1007/S10690-007-9050-0
description: scientific article