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Portfolio Optimization in Discontinuous Markets under Incomplete Information

Author

Listed:
  • Giorgia Callegaro

    ()

  • Giovanni Masi

    ()

  • Wolfgang Runggaldier

    ()

Abstract

No abstract is available for this item.

Suggested Citation

  • Giorgia Callegaro & Giovanni Masi & Wolfgang Runggaldier, 2006. "Portfolio Optimization in Discontinuous Markets under Incomplete Information," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 13(4), pages 373-394, December.
  • Handle: RePEc:kap:apfinm:v:13:y:2006:i:4:p:373-394
    DOI: 10.1007/s10690-007-9050-0
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    File URL: http://hdl.handle.net/10.1007/s10690-007-9050-0
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    References listed on IDEAS

    as
    1. Huyên 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.
    2. Bernt Oksendal, 2005. "The Value Of Information In Stochastic Control And Finance," Australian Economic Papers, Wiley Blackwell, vol. 44(4), pages 352-364, December.
    Full references (including those not matched with items on IDEAS)

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    Cited by:

    1. Kristoffer Lindensjö, 2016. "Optimal investment and consumption under partial information," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 83(1), pages 87-107, February.
    2. 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.
    3. repec:spr:compst:v:71:y:2010:i:2:p:371-399 is not listed on IDEAS
    4. Branger, Nicole & Kraft, Holger & Meinerding, Christoph, 2014. "Partial information about contagion risk, self-exciting processes and portfolio optimization," Journal of Economic Dynamics and Control, Elsevier, vol. 39(C), pages 18-36.
    5. Tomas Björk & Mark Davis & Camilla Landén, 2010. "Optimal investment under partial information," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 71(2), pages 371-399, April.

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