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Density quantization method in the optimal portfolio choice with partial observation of stochastic volatility
Optimal portfolio partial observation ltering density
2010/10/21
Computational aspects of the optimal consumption and investment with the partially observed stochastic volatility of the asset prices are considered. The new quantization approach to filtering - dens...
Stochastic Utilities With a Given Optimal Portfolio : Approach by Stochastic Flows
Stochastic Utilities Optimal Portfolio Stochastic Flows
2010/10/20
The paper generalizes the construction by stochastic flows of consistent utilities processes introduced by M. Mrad and N. El Karoui (2010). The market is incomplete and securities are modeled as local...