Optimal investment in markets with over and under-reaction to information
Giorgia Callegaro, M’hamed Gaïgi, Simone Scotti, Carlo Sgarra
| Year of publication: |
June 2017
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|---|---|
| Authors: | Callegaro, Giorgia ; Gaïgi, M’hamed ; Scotti, Simone ; Sgarra, Carlo |
| Published in: |
Mathematics and financial economics. - Berlin : Springer, ISSN 1862-9679, ZDB-ID 2389728-4. - Vol. 11.2017, 3, p. 299-322
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| Subject: | Jump-diffusion models | Portfolio optimization | Nonlinear filtering | Enlargement of filtrations | Over and under-reaction | Portfolio-Management | Portfolio selection | Theorie | Theory | Stochastischer Prozess | Stochastic process |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s11579-016-0182-8 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011900563