Pages that link to "Item:Q5273715"
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The following pages link to Portfolio Optimization With Markov-Modulated Stock Prices and Interest Rates (Q5273715):
Displaying 50 items.
- Exact and approximate hidden Markov chain filters based on discrete observations (Q293595) (← links)
- Generalized coupled algebraic Riccati equations for discrete-time Markov jump with multiplicative noise systems (Q397371) (← links)
- Investment-consumption with regime-switching discount rates (Q459181) (← links)
- A class of non-zero-sum stochastic differential investment and reinsurance games (Q466272) (← links)
- Predictive control of systems with Markovian jumps under constraints and its application to the investment portfolio optimization (Q664261) (← links)
- Model predictive control of constrained Markovian jump nonlinear stochastic systems and portfolio optimization under market frictions (Q680494) (← links)
- Portfolio optimization for a large investor under partial information and price impact (Q684140) (← 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)
- Utility indifference valuation of corporate bond with rating migration risk (Q889421) (← links)
- Optimal investment in multidimensional Markov-modulated affine models (Q902185) (← links)
- MDP algorithms for portfolio optimization problems in pure jump markets (Q964693) (← links)
- Optimal investment under partial information (Q966433) (← links)
- A generalized multi-period mean-variance portfolio optimization with Markov switching parameters (Q1004111) (← links)
- Portfolio selection in stochastic markets with exponential utility functions (Q1026576) (← links)
- Portfolio selection in stochastic markets with HARA utility functions (Q1037679) (← links)
- Nonzero-sum stochastic differential portfolio games under a Markovian regime switching model (Q1666474) (← links)
- Dual control Monte-Carlo method for tight bounds of value function in regime switching utility maximization (Q1683121) (← links)
- Stochastic impulse control with regime-switching dynamics (Q1753526) (← links)
- HARA frontiers of optimal portfolios in stochastic markets (Q1926829) (← links)
- On optimal proportional reinsurance and investment in a Markovian regime-switching economy (Q1943015) (← links)
- Arbitrage-free conditions and hedging strategies for markets with penalty costs on short positions (Q1955374) (← links)
- Maximizing expected terminal utility of an insurer with high gain tax by investment and reinsurance (Q2004551) (← links)
- Predictive control of investment portfolio on the financial market with hidden regime switching and MS VAR model of returns (Q2034839) (← links)
- Insider information and its relation with the arbitrage condition and the utility maximization problem (Q2045757) (← links)
- Signal-to-noise matrix and model reduction in continuous-time hidden Markov models (Q2148921) (← links)
- Finite difference methods for the Hamilton-Jacobi-Bellman equations arising in regime switching utility maximization (Q2219642) (← links)
- Optimal convergence trading with unobservable pricing errors (Q2241060) (← links)
- Optimal investment and dividend for an insurer under a Markov regime switching market with high gain tax (Q2338478) (← links)
- A new fuzzy programming approach for multi-period portfolio optimization with return demand and risk control (Q2351435) (← links)
- Optimal consumption and investment strategies with partial and private information in a multi-asset setting (Q2392018) (← links)
- Portfolio optimization in stochastic markets (Q2500788) (← links)
- Value functions in a regime switching jump diffusion with delay market model (Q2671163) (← links)
- OPTIMAL CONSUMPTION AND INVESTMENT FOR A LARGE INVESTOR: AN INTENSITY-BASED CONTROL FRAMEWORK (Q2851560) (← links)
- An HMM approach for optimal investment of an insurer (Q2864634) (← links)
- A FINITE-HORIZON OPTIMAL INVESTMENT AND CONSUMPTION PROBLEM USING REGIME-SWITCHING MODELS (Q2874733) (← links)
- PORTFOLIO OPTIMIZATION IN AFFINE MODELS WITH MARKOV SWITCHING (Q2947343) (← links)
- An optimal investment and consumption model with stochastic returns (Q3077453) (← links)
- Overtaking optimality for controlled Markov-modulated diffusions (Q3145053) (← links)
- Portfolio optimization and a factor model in a stochastic volatility market (Q3426318) (← links)
- HARA utility maximization in a Markov-switching bond–stock market (Q4555174) (← links)
- PAIRS TRADING UNDER DRIFT UNCERTAINTY AND RISK PENALIZATION (Q4555856) (← links)
- OPTIMAL ASSET ALLOCATION WITH STOCHASTIC INTEREST RATES IN REGIME-SWITCHING MODELS (Q4584699) (← links)
- An Optimal Consumption Problem for General Factor Models (Q4586150) (← links)
- A BSDE Approach to Optimal Investment of an Insurer with Hidden Regime Switching (Q4916397) (← links)
- Portfolio Optimization for a Large Investor Controlling Market Sentiment Under Partial Information (Q4968923) (← links)
- Model predictive control design for constrained Markov jump bilinear stochastic systems with an application in finance (Q5026618) (← links)
- EXTREMAL BEHAVIOR OF LONG-TERM INVESTORS WITH POWER UTILITY (Q5357512) (← links)
- A Mathematical Analysis of Technical Analysis (Q5378529) (← links)
