PORTFOLIO OPTIMIZATION IN AFFINE MODELS WITH MARKOV SWITCHING (Q2947343): Difference between revisions

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+.5247
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+Portfolio Optimization With Markov-Modulated Stock Prices and Interest Rates
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+Portfolio selection under incomplete information
@@ Property / cites work: Portfolio selection under incomplete information / rank @@
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+The Role of Learning in Dynamic Portfolio Decisions *
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+Consumption and Portfolio Decisions when Expected Returns are Time Varying
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+Finite-dimensional models for hidden Markov chains
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+Pricing Volatility Swaps Under Heston's Stochastic Volatility Model with Regime Switching
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+Optimal consumption and portfolio under inflation and Markovian switching
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+PORTFOLIO OPTIMIZATION UNDER PARTIAL INFORMATION WITH EXPERT OPINIONS
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+A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
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+MEAN–VARIANCE HEDGING AND OPTIMAL INVESTMENT IN HESTON'S MODEL WITH CORRELATION
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+Exponentially affine martingales, affine measure changes and exponential moments of affine processes
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+UTILITY MAXIMIZATION IN AFFINE STOCHASTIC VOLATILITY MODELS
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+Optimal portfolios and Heston's stochastic volatility model: an explicit solution for power utility
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+Optimal investment and consumption with proportional transaction costs in regime-switching model
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+A FINITE-HORIZON OPTIMAL INVESTMENT AND CONSUMPTION PROBLEM USING REGIME-SWITCHING MODELS
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+On the exponential solution of differential equations for a linear operator
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+Optimum consumption and portfolio rules in a continuous-time model
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+A regime-switching Heston model for VIX and S&amp;P 500 implied volatilities
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+EXPLICIT SOLUTIONS OF CONSUMPTION-INVESTMENT PROBLEMS IN FINANCIAL MARKETS WITH REGIME SWITCHING
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+Stock Price Distributions with Stochastic Volatility: An Analytic Approach
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+A solution approach to valuation with unhedgeable risks
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+Publication:2947343