Optimal investment and consumption when regime transitions cause price shocks (Q2447410): Difference between revisions

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+MaRDI publication profile
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+https://doi.org/10.1016/j.insmatheco.2012.07.011
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+W2075933972
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@@ Property / cites work @@
+Post-'87 crash fears in the S\&P 500 futures option market
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+Point processes and queues. Martingale dynamics
@@ Property / cites work: Point processes and queues. Martingale dynamics / rank @@
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+Q2703816
@@ Property / cites work: Q2703816 / rank @@
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@@ Property / cites work @@
+Q4367948
@@ Property / cites work: Q4367948 / rank @@
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+Markowitz's Mean-Variance Portfolio Selection With Regime Switching: From Discrete-Time Models to Their Continuous-Time Limits
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+Optimal portfolios with regime switching and value-at-risk constraint
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+Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model
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