Optimal solution of investment problems via linear parabolic equations generated by Kalman Filter

SIAM Journal on Control and Optimization

Volumn 44, Issue 4, 2005, Pages 1239-1258

  Dokuchaev, Nikolai ^a  

^a UNIVERSITY OF LIMERICK   (Ireland)

Author keywords

Kalman filter; Nonobservable parameters; Optimal portfolio

Indexed keywords

INVENTORY CONTROL; KALMAN FILTERING; LINEAR EQUATIONS; NONLINEAR EQUATIONS; OPTIMIZATION; PROBLEM SOLVING; STRATEGIC PLANNING;

NONOBSERVABLE PARAMETERS; OPTIMAL INVESTMENT PROBLEMS; OPTIMAL PORTFOLIOS; SCALAR MINIMIZATION PROBLEMS;

INVESTMENTS;

EID: 33746045702     PISSN: 03630129     EISSN: None     Source Type: Journal    
DOI: 10.1137/S036301290342557X     Document Type: Article

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