Portfolio choice, portfolio liquidation, and portfolio transition under drift uncertainty

Alexis Bismuth, Olivier Guéant, Jiang Pu

Year of publication:	2019
Authors:	Bismuth, Alexis ; Guéant, Olivier ; Pu, Jiang
Published in:	Mathematics and financial economics. - Berlin : Springer, ISSN 1862-9679, ZDB-ID 2389728-4. - Vol. 13.2019, 4, p. 661-719
Subject:	Bayesian learning \| Hamilton-Jacobi-Bellman equations \| Online learning \| Optimal execution \| Optimal portfolio choice \| Optimal portfolio liquidation \| Optimal portfolio transition \| Stochastic optimal control \| Portfolio-Management \| Portfolio selection \| Theorie \| Theory \| Mathematische Optimierung \| Mathematical programming \| Dynamische Optimierung \| Dynamic programming \| Lernprozess \| Learning process

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