Dynamic portfolio choice under ambiguity and regime switching mean returns

DOI10.1016/j.jedc.2010.12.012zbMath1209.91150MaRDI QIDQ631261

Hening Liu

Publication date: 22 March 2011

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2010.12.012

zbMATH Keywords

hidden Markov model; portfolio choice; Malliavin derivative; recursive multiple priors

Mathematics Subject Classification ID

91B16: Utility theory

60H30: Applications of stochastic analysis (to PDEs, etc.)

91G10: Portfolio theory

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