An optimal portfolio and consumption problem with a benchmark and partial information
Mondher Bellalah, Detao Zhang, Panpan Zhang
| Year of publication: |
2023
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|---|---|
| Authors: | Bellalah, Mondher ; Zhang, Detao ; Zhang, Panpan |
| Published in: |
Mathematics and financial economics. - Berlin : Springer, ISSN 1862-9660, ZDB-ID 2389109-9. - Vol. 17.2023, 1, p. 127-152
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| Subject: | Hamilton-Jacobi-Bellman equation | Kalman-Bucy filter | Optimal portfolio and consumption | Partial information | Verification theorem | Portfolio-Management | Portfolio selection | Unvollkommene Information | Incomplete information | Konsumtheorie | Consumption theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s11579-022-00330-8 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014226256