A Benchmark Approach to Portfolio Optimization under Partial Information
暂无分享,去创建一个
[1] U. Rieder,et al. PORTFOLIO OPTIMIZATION WITH JUMPS AND UNOBSERVABLE INTENSITY PROCESS , 2007 .
[2] D. Hobson. Option Pricing In Incomplete Markets , 2007 .
[3] D. Heath,et al. A Benchmark Approach to Quantitative Finance , 2006 .
[4] Numerical estimation of volatility values from discretely observed diffusion data , 2006 .
[5] W. Runggaldier,et al. A filtered no arbitrage model for term structures from noisy data , 2005 .
[6] Ulrich G. Haussmann,et al. Optimizing the terminal wealth under partial information: The drift process as a continuous time Markov chain , 2004, Finance Stochastics.
[7] E. Platen. Diversified Portfolios with Jumps in a Benchmark Framework , 2004 .
[8] M. Hellwig. Risk Aversion in the Small and in the Large. When Outcomes are Multidimensional , 2004 .
[9] Wolfgang J. Runggaldier,et al. Efficient Hedging When Asset Prices Follow A Geometric Poisson Process With Unknown Intensities , 2004, SIAM J. Control. Optim..
[10] W. Runggaldier,et al. Inferring the Forward Looking Equity Risk Premium from Derivative Prices , 2004 .
[11] Wolfgang J. Runggaldier. Estimation via stochastic filtering in financial market models , 2003 .
[12] Wolfgang J. Runggaldier,et al. A Benchmark Approach to Filtering in Finance , 2004 .
[13] S. Peng,et al. Risk-Sinsitive Dynamic Portfolio Optimization with Partial Information on Infinite Time Horizon , 2002 .
[14] W. Runggaldier,et al. A Nonlinear Filtering Approach To Volatility Estimation With A View Towards High Frequency Data , 2001 .
[15] A minimal financial market model , 2001 .
[16] H. Pham,et al. Optimal Portfolio in Partially Observed Stochastic Volatility Models , 2001 .
[17] I. Karatzas,et al. Option Pricing, Interest Rates and Risk Management: Bayesian Adaptive Portfolio Optimization , 2001 .
[18] Camilla Landén,et al. Bond pricing in a hidden Markov model of the short rate , 2000, Finance Stochastics.
[19] E. Platen,et al. Hidden Markov filtering for a mean reverting interest rate model , 1999, Proceedings of the 38th IEEE Conference on Decision and Control (Cat. No.99CH36304).
[20] Wolfgang J. Runggaldier,et al. Risk-minimizing hedging strategies under restricted information: The case of stochastic volatility models observable only at discrete random times , 1999, Math. Methods Oper. Res..
[21] S. H. Babbs,et al. Kalman Filtering of Generalized Vasicek Term Structure Models , 1999, Journal of Financial and Quantitative Analysis.
[22] Filtering Derivative Security Valuations from Market Prices , 1997 .
[23] Peter Lakner,et al. Utility maximization with partial information , 1995 .
[24] Martin Schweizer. RISK‐MINIMIZING HEDGING STRATEGIES UNDER RESTRICTED INFORMATION , 1994 .
[25] F. Black,et al. The Pricing of Options and Corporate Liabilities , 1973, Journal of Political Economy.
[26] K. Arrow,et al. Aspects of the theory of risk-bearing , 1966 .