Performance enhancement through portfolio optimization of delayed insider information: An analysis and implementation study-Reference-Cited by-同舟云学术

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Performance enhancement through portfolio optimization of delayed insider information: An analysis and implementation study

Published:2024-08 Issue: Volume:446 Page:115855
ISSN:0377-0427
Container-title:Journal of Computational and Applied Mathematics
language:en
Short-container-title:Journal of Computational and Applied Mathematics

Author:

Ranilla-Cortina Sandra^ORCID,Vigo-Aguiar Jesús

Publisher

Elsevier BV

Reference36 articles.

1. Analysis, Geometry, and Modeling in Finance;Henry-Labordere,2009

2. Optimal portfolio and consumption decisions for a small investor on a finite horizon;Karatzas;SIAM J. Control Optim.,1987

3. Introduction to Stochastic Calculus Applied to Finance;Lamberton,1996

4. Portfolio selection;Markowitz;J. Finance,1952

5. Lifetime portfolio selection under uncertainty: The continuous-time case;Merton;Rev. Econ. Stat.,1969

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