Record link: 
http://hdl.handle.net/20.500.12708/219964
-
Title: 
Momentum vs Mean Reversion : Partial Information Approach to Optimal Investment Strategies
en
Citation: 
Altay, S. (2025). Momentum vs Mean Reversion : Partial Information Approach to Optimal Investment Strategies. In 12th General AMaMeF Conference Booklet of Abstracts. 12th General AMaMeF Conference, Verona, Italy.
-
Publication Type: 
Inproceedings - Abstract Book Contribution
en
Language: 
English
-
Authors: 
Altay, Sühan 
-
Organisational Unit: 
E105-05 - Forschungsbereich Stochastische Finanz- und Versicherungsmathematik 
-
Published in: 
12th General AMaMeF Conference Booklet of Abstracts 
-
Date (published): 
2025
-
Event name: 
12th General AMaMeF Conference 
en
Event date: 
23-Jun-2025 - 27-Jun-2025
-
Event place: 
Verona, Italy
-
Number of Pages: 
1
-
Keywords: 
Portfolio optimization; partial information; Kalman-Bucy filtering; momentum
en
Research Areas: 
Mathematical Methods in Economics: 60%
Mathematical and Algorithmic Foundations: 20%
Fundamental Mathematics Research: 20%
-
Science Branch: 
1020 - Informatik: 10%
5020 - Wirtschaftswissenschaften: 20%
1010 - Mathematik: 70%
-
Appears in Collections:
Conference Paper

Show full item record

Google ScholarTM

Check