𝔖 Bobbio Scriptorium
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A model of market-making with imperfect information

✍ Scribed by I. R. C. Hirst

Book ID
112142567
Publisher
John Wiley and Sons
Year
1980
Tongue
English
Weight
619 KB
Volume
1
Category
Article
ISSN
0143-6570

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πŸ“œ SIMILAR VOLUMES

Portfolio selection with imperfect infor
Portfolio selection with imperfect information: A hidden Markov model
✍ Ethem Γ‡anakoğlu; SΓΌleyman Γ–zekici πŸ“‚ Article πŸ“… 2011 πŸ› John Wiley and Sons 🌐 English βš– 223 KB

## Abstract We consider a utility‐based portfolio selection problem, where the parameters change according to a Markovian market that cannot be observed perfectly. The market consists of a riskless and many risky assets whose returns depend on the state of the unobserved market process. The states