Mean-Variance Hedging Under Partial Information.
Michael ManiaRevaz TevzadzeTeimuraz ToronjadzePublished in: SIAM J. Control. Optim. (2008)
Keyphrases
- partial information
- portfolio selection
- financial markets
- incomplete information
- transaction costs
- utility function
- quasi linear
- option pricing
- risk management
- exchange rate
- portfolio optimization
- stock market
- artificial intelligence
- orders of magnitude
- decision makers
- information retrieval systems
- investment strategies
- search algorithm
- decision making