Optimal investment under partial information

Mathematical Methods of Operations Research

Volumn 71, Issue 2, 2010, Pages 371-399

  Björk, Tomas ^a   Davis, Mark H A ^b   Landén, Camilla ^c  

^a STOCKHOLM SCHOOL OF ECONOMICS   (Sweden)

^b IMPERIAL COLLEGE LONDON   (United Kingdom)

^c ROYAL INSTITUTE OF TECHNOLOGY   (Sweden)

Author keywords

Filtering; Investment; Optimal control; Partial information; Partial observations; Portfolio; Stochastic control

Indexed keywords

OPTIMAL CONTROLS; PARTIAL INFORMATION; PARTIAL OBSERVATION; PARTIAL OBSERVATIONS; STOCHASTIC CONTROL;

CONTROL; INVESTMENTS; STOCHASTIC CONTROL SYSTEMS; STOCHASTIC SYSTEMS;

OPTIMIZATION;

EID: 77952954806     PISSN: 14322994     EISSN: 14325217     Source Type: Journal    
DOI: 10.1007/s00186-010-0301-x     Document Type: Article

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