Mean–variance portfolio selection under partial information with drift uncertainty
نویسندگان
چکیده
In this paper, we study the mean–variance portfolio selection problem under partial information with drift uncertainty. First show that market model is complete even in case while i...
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ژورنال
عنوان ژورنال: Quantitative Finance
سال: 2021
ISSN: ['1469-7696', '1469-7688']
DOI: https://doi.org/10.1080/14697688.2021.1889650