Mean‐Variance Portfolio Selection under Partial Information
Author:
Publisher
Society for Industrial & Applied Mathematics (SIAM)
Subject
Applied Mathematics,Control and Optimization
Link
http://epubs.siam.org/doi/pdf/10.1137/050641132
Reference21 articles.
1. Uniqueness and Robustness of Solution of Measure-Valued Equations of Nonlinear Filtering
2. CONTINUOUS-TIME MEAN-VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION
3. Assessing Asset Pricing Anomalies
4. Asset Pricing in a Production Economy with Incomplete Information
5. Equilibrium Interest Rates and Multiperiod Bonds in a Partially Observable Economy
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