Optimal portfolio policies under bounded expected loss and partial information

Author:

Sass Jörn,Wunderlich Ralf

Publisher

Springer Science and Business Media LLC

Subject

Management Science and Operations Research,General Mathematics,Software

Reference34 articles.

1. Basak S, Shapiro A (2001) Value-at-risk based risk management: optimal policies and asset prices. Rev Financ Stud 14: 371–405

2. Björk T, Davis MHA, Landén C (2010) Optimal investment with partial information. Math Meth Oper Res, to appear

3. Brendle S (2006) Portfolio selection under incomplete information. Stochastic Processes Appl 116: 701–723

4. Clark JMC (1978) The design of robust approximations to the stochastic differential equations of nonlinear filtering, Communication systems and random process theory (Proc. 2nd NATO Advanced Study Inst., Darlington, 1977), Sijthoff & Noordhoff, Alphen aan den Rijn, pp 721–734. NATO Advanced Study Inst Ser, Ser E: Appl Sci, No. 25

5. Elliott RJ (1993) New finite-dimensional filters and smoothers for noisily observed Markov chains. IEEE Trans Inf Theory 39: 265–271

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