Optimal Investment with Noise Trading Risk.
Yunhui XuZhongfei LiKen Seng TanPublished in: J. Syst. Sci. Complex. (2008)
Keyphrases
- investment strategies
- risk neutral
- dynamic programming
- portfolio management
- risk aversion
- optimal portfolio
- conditional expectation
- risk averse
- market data
- noise reduction
- noise level
- decision making
- estimation error
- sharpe ratio
- optimal control
- noisy data
- missing data
- optimal solution
- investment decisions
- noisy environments
- stock market
- electronic commerce
- worst case