Portfolio optimization in a regime-switching market with derivatives (Q297212): Difference between revisions

@@ Property / Mathematics Subject Classification ID @@
+G10
@@ Property / Mathematics Subject Classification ID: 91G10 / rank @@
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@@ Property / Mathematics Subject Classification ID @@
+G80
@@ Property / Mathematics Subject Classification ID: 91G80 / rank @@
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@@ Property / Mathematics Subject Classification ID @@
+N90
@@ Property / Mathematics Subject Classification ID: 49N90 / rank @@
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@@ Property / zbMATH DE Number @@
+6598044
@@ Property / zbMATH DE Number: 6598044 / rank @@
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@@ Property / zbMATH Keywords @@
+functional operator
@@ Property / zbMATH Keywords: functional operator / rank @@
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@@ Property / zbMATH Keywords @@
+elasticity approach
@@ Property / zbMATH Keywords: elasticity approach / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+portfolio optimization
@@ Property / zbMATH Keywords: portfolio optimization / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+regime switching
@@ Property / zbMATH Keywords: regime switching / rank @@
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@@ Property / zbMATH Keywords @@
+dynamic programming principle
@@ Property / zbMATH Keywords: dynamic programming principle / rank @@
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@@ Property / cites work @@
+The Pricing of Options and Corporate Liabilities
@@ Property / cites work: The Pricing of Options and Corporate Liabilities / rank @@
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@@ Property / cites work @@
+Regime switching in foreign exchange rates: Evidence from currency option prices
+Normal rank
@@ Property / cites work @@
+AMERICAN OPTIONS WITH REGIME SWITCHING
@@ Property / cites work: AMERICAN OPTIONS WITH REGIME SWITCHING / rank @@
+Normal rank
@@ Property / cites work @@
+HARA frontiers of optimal portfolios in stochastic markets
+Normal rank
@@ Property / cites work @@
+Multiperiod portfolio optimization models in stochastic markets using the mean--variance approach
+Normal rank
@@ Property / cites work @@
+Optimal consumption and portfolio policies when asset prices follow a diffusion process
+Normal rank
@@ Property / cites work @@
+A variational problem arising in financial economics
+Normal rank
@@ Property / cites work @@
+Controlled Markov processes and viscosity solutions
+Normal rank
@@ Property / cites work @@
+Asset allocation under multivariate regime switching
+Normal rank
@@ Property / cites work @@
+A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
+Normal rank
@@ Property / cites work @@
+Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
+Normal rank
@@ Property / cites work @@
+Optimal portfolios: new variations of an old theme
+Normal rank
@@ Property / cites work @@
+Elasticity approach to portfolio optimization
@@ Property / cites work: Elasticity approach to portfolio optimization / rank @@
+Normal rank
@@ Property / cites work @@
+Optimum consumption and portfolio rules in a continuous-time model
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:297212