Portfolio optimization with non-constant volatility and partial information
type: Item
instance of: scholarly article
title: Portfolio optimization with non-constant volatility and partial information
zbMATH Open document ID: 1272.91116
author: Markus Hahn
author: Wolfgang Putschögl
author: Jörn Sass
published in: Brazilian Journal of Probability and Statistics
publication date: 2013-09-16T00:00:00Z
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 91G80
Mathematics Subject Classification ID: 60H07
Mathematics Subject Classification ID: 60J25
Mathematics Subject Classification ID: 60J27
Mathematics Subject Classification ID: 91G60
zbMATH DE Number: 6208429
zbMATH Keywords: hidden Markov model filtering
zbMATH Keywords: Malliavin calculus
zbMATH Keywords: Markov chain Monte Carlo
zbMATH Keywords: stochastic volatility
zbMATH Keywords: utility maximization
MaRDI profile type: Publication
description: scientific article; zbMATH DE number 6208429