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Inventory management with random supply and imperfect information: A hidden Markov model

✍ Scribed by Kenan Arifoğlu; Süleyman Özekici


Book ID
113655294
Publisher
Elsevier Science
Year
2011
Tongue
English
Weight
498 KB
Volume
134
Category
Article
ISSN
0925-5273

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Portfolio selection with imperfect infor
✍ Ethem Çanakoğlu; Süleyman Özekici 📂 Article 📅 2011 🏛 John Wiley and Sons 🌐 English ⚖ 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