Utility maximization with convex constraints and partial information

Acta Applicandae Mathematicae

Volumn 97, Issue 1-3, 2007, Pages 221-238

  Sass, Jörn ^a  

^a JOHANN RADON INSTITUTE FOR COMPUTATIONAL AND APPLIED MATHEMATICS   (Austria)

Author keywords

Constrained strategies; Filtering; Portfolio optimization

Indexed keywords

HIDDEN MARKOV MODELS; INVENTORY CONTROL; INVESTMENTS; OPTIMIZATION; RISK ASSESSMENT; STOCHASTIC MODELS;

CONSTRAINED STRATEGIES; INVESTMENT DECISIONS; PORTFOLIO OPTIMIZATION; STOCHASTIC DRIFT PROCESSES;

CONSTRAINT THEORY;

EID: 34248571531     PISSN: 01678019     EISSN: 15729036     Source Type: Journal    
DOI: 10.1007/s10440-007-9124-z     Document Type: Article

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