An optimal portfolio and consumption problem with a benchmark and partial information
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
|
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 |
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