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Portfolio Optimization Under Partial Information and Convex Constraints in a Hidden Markov Model

Jörn Sass. Portfolio Optimization Under Partial Information and Convex Constraints in a Hidden Markov Model. In Hans-Dietrich Haasis, Herbert Kopfer, Jörn Schönberger, editors, Operations Research Proceedings 2005, Selected Papers of the Annual International Conference of the German Operations Research Society (GOR), Bremen, September 7-9, 2005. pages 223-228, 2005. [doi]

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