Expert opinions and logarithmic utility maximization for multivariate stock returns with Gaussian drift
Jörn Sass, Dorothee Westphal and Ralf Wunderlich
| Year of publication: |
June 2017
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|---|---|
| Authors: | Sass, Jörn ; Westphal, Dorothee ; Wunderlich, Ralf |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 20.2017, 4, p. 1-41
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| Subject: | Conditional covariance matrix | Ornstein-Uhlenbeck process | partial information | portfolio optimization | unbiased expert opinions | Portfolio-Management | Portfolio selection | Theorie | Theory | Kapitaleinkommen | Capital income | Experten | Experts | Korrelation | Correlation | Börsenkurs | Share price | Finanzanalyse | Financial analysis | Stochastischer Prozess | Stochastic process |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S0219024917500224 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10011687059