Nearly-optimal asset allocation in hybrid stock investment models.

DOI10.1023/B:JOTA.0000037412.23243.6CzbMath1090.91049OpenAlexW1996194659MaRDI QIDQ703185

G. George Yin, Qing Zhang

Publication date: 11 January 2005

Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/b:jota.0000037412.23243.6c

zbMATH Keywords

weak convergenceMarkov chainshybrid modelsswitching diffusionsnear optimality

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Continuous-time Markov processes on discrete state spaces (60J27)

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Cites Work

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• Asymptotic properties of a singularly perturbed Markov chain with inclusion of transient states.
• Stock Trading: An Optimal Selling Rule
• Investment-Consumption Models with Transaction Fees and Markov-Chain Parameters

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