Mean-variance portfolio selection under partial information
This paper is concerned with a continuous-time mean-variance portfolio selection problem in a (possibly incomplete) market with multiple stocks and a bond. Only the past price movements of the stocks and the bond are the information available to the investors. A separation principle is shown to hold...
| Main Authors: | , |
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| Format: | Journal article |
| Language: | English |
| Published: |
2007
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