Portfolio Optimization in Discontinuous Markets under Incomplete Information
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Bibliographic InfoArticle provided by Springer in its journal Asia-Pacific Financial Markets.
Volume (Year): 13 (2006)
Issue (Month): 4 (December)
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Web page: http://springerlink.metapress.com/link.asp?id=102851
Portfolio optimization; Stochastic control; Discontinuous Markets; Incomplete information; Primary 93E20; Secondary 91B28;
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- Bernt Oksendal, 2005. "The Value Of Information In Stochastic Control And Finance," Australian Economic Papers, Wiley Blackwell, vol. 44(4), pages 352-364, December.
- Huy�n Pham & Peter Tankov, 2008. "A Model Of Optimal Consumption Under Liquidity Risk With Random Trading Times," Mathematical Finance, Wiley Blackwell, vol. 18(4), pages 613-627.
- Edoli, Enrico & Runggaldier, Wolfgang J., 2010. "On optimal investment in a reinsurance context with a point process market model," Insurance: Mathematics and Economics, Elsevier, vol. 47(3), pages 315-326, December.
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