On the separation of estimation and control in risk-sensitive investment problems under incomplete observation
Sébastien Lleo, Wolfgang J. Runggaldier
| Year of publication: |
2024
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|---|---|
| Authors: | Lleo, Sébastien ; Runggaldier, Wolfgang J. |
| Published in: |
European journal of operational research : EJOR. - Amsterdam [u.a.] : Elsevier, ISSN 0377-2217, ZDB-ID 1501061-2. - Vol. 316.2024, 1 (1.7.), p. 200-214
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| Subject: | Applied probability | Partial observation | Portfolio optimization | Risk-sensitive control | Stochastic processes | Portfolio-Management | Portfolio selection | Theorie | Theory | Stochastischer Prozess | Stochastic process | Wahrscheinlichkeitsrechnung | Probability theory | Markov-Kette | Markov chain |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ejor.2024.01.044 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014573970