Optimizing the terminal wealth under partial information: The drift process as a continuous time Markov chain
Year of publication: |
2004
|
---|---|
Authors: | Sass, Jörn ; Haussmann, Ulrich |
Published in: |
Finance and Stochastics. - Springer. - Vol. 8.2004, 4, p. 553-577
|
Publisher: |
Springer |
Subject: | Portfolio optimization | partial information | continuous time Markov chain | HMM filtering | stochastic interest rates |
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