Mean-variance portfolio selection under partial information with drift uncertainty

10 Jan 2019 • Jie Xiong • Zuo Quan Xu • Jiayu Zheng

In this paper, we study the mean-variance portfolio selection problem under partial information with drift uncertainty. First we show that the market model is complete even in this case while the information is not complete and the drift is uncertain... (read more)

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Mean-variance portfolio selection under partial information with drift uncertainty

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