Pages that link to "Item:Q5273707"
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The following pages link to Markowitz's Mean-Variance Portfolio Selection With Regime Switching: From Discrete-Time Models to Their Continuous-Time Limits (Q5273707):
Displayed 46 items.
- Mean-variance portfolio selection with a stochastic cash flow in a Markov-switching jump-diffusion market (Q378275) (← links)
- Infinite horizon \(H_2/H_\infty\) optimal control for discrete-time Markov jump systems with \((x,u,v)\)-dependent noise (Q386451) (← links)
- Generalized coupled algebraic Riccati equations for discrete-time Markov jump with multiplicative noise systems (Q397371) (← links)
- Asymptotic properties of hybrid random processes modulated by Markov chains (Q419985) (← links)
- Multi-period mean-variance portfolio selection with Markov regime switching and uncertain time-horizon (Q545457) (← links)
- Optimal control of the risk process in a regime-switching environment (Q642895) (← links)
- An M-ary detection approach for asset allocation (Q660845) (← links)
- Predictive control of systems with Markovian jumps under constraints and its application to the investment portfolio optimization (Q664261) (← links)
- Optimal stopping behavior of equity-linked investment products with regime switching (Q817296) (← links)
- Portfolio optimization in a semi-Markov modulated market (Q843965) (← links)
- Multiperiod portfolio optimization models in stochastic markets using the mean--variance approach (Q858428) (← links)
- Multi-period optimization portfolio with bankruptcy control in stochastic market (Q876610) (← links)
- Indefinite quadratic with linear costs optimal control of Markov jump with multiplicative noise systems (Q880408) (← links)
- Model predictive control of systems with random dependent parameters under constraints and its application to the investment portfolio optimization (Q885779) (← links)
- Euler-Maruyama approximations in mean-reverting stochastic volatility model under regime-switching (Q937465) (← links)
- A unified design for state and output feedback \(H_\infty \) control of nonlinear stochastic Markovian jump systems with state and disturbance-dependent noise (Q976247) (← links)
- Optimal portfolios with regime switching and value-at-risk constraint (Q976262) (← links)
- A generalized multi-period mean-variance portfolio optimization with Markov switching parameters (Q1004111) (← links)
- Robust optimal portfolio choice under Markovian regime-switching model (Q1023980) (← links)
- Portfolio selection in stochastic markets with exponential utility functions (Q1026576) (← links)
- A mean-variance optimization problem for discounted Markov decision processes (Q1926755) (← links)
- Optimal mean-variance control for discrete-time linear systems with Markovian jumps and multiplicative noises (Q1941253) (← links)
- Arbitrage-free conditions and hedging strategies for markets with penalty costs on short positions (Q1955374) (← links)
- Portfolio selection with jumps under regime switching (Q1958452) (← links)
- Stochastic differential equations with multi-Markovian switching (Q2375515) (← links)
- Funding and investment decisions in a stochastic defined benefit pension plan with regime switching (Q2393667) (← links)
- Optimal investment and consumption when regime transitions cause price shocks (Q2447410) (← links)
- Weak convergence of Markov-modulated diffusion processes with rapid switching (Q2452781) (← links)
- Multiperiod mean-variance optimization with intertemporal restrictions (Q2471098) (← links)
- Dynamic control of the investment portfolio in the jump-diffusion financial market with regime switching (Q2487604) (← links)
- Portfolio optimization in stochastic markets (Q2500788) (← links)
- On the notion of weak stability and related issues of hybrid diffusion systems (Q2643426) (← links)
- An HMM approach for optimal investment of an insurer (Q2864634) (← links)
- Asymptotic expansions of solutions of systems of Kolmogorov backward equations for two-time-scale switching diffusions (Q2871120) (← links)
- Asymptotic Expansions for Solutions of Systems of Kolmogorov Backward Equations of Two-Time-Scale Switching Jump Diffusions (Q2890077) (← links)
- <i>H</i> <sub> ∞ </sub> control for discrete-time nonlinear Markov jump systems with multiplicative noise and sector constraint (Q2933169) (← links)
- An optimal investment and consumption model with stochastic returns (Q3077453) (← links)
- Asymptotic properties of Markov-modulated random sequences with fast and slow timescales (Q3080996) (← links)
- Weak convergence of Markov-modulated random sequences (Q3080998) (← links)
- Risk Minimizing Option Pricing for a Class of Exotic Options in a Markov-Modulated Market (Q3168704) (← links)
- Long-term strategic asset allocation with inflation risk and regime switching (Q4911230) (← links)
- A BSDE Approach to Optimal Investment of an Insurer with Hidden Regime Switching (Q4916397) (← links)
- Discrete-time mean variance optimal control of linear systems with Markovian jumps and multiplicative noise (Q5323281) (← links)
- Infinite horizon linear quadratic stochastic Nash differential games of Markov jump linear systems with its application (Q5410858) (← links)
- Asset allocation under threshold autoregressive models (Q5414497) (← links)
- Multi-Period Asset Allocation Under Hidden Markovianly Driven Noises (Q5421608) (← links)