Portfolio Selection in the Enlarged Markovian Regime-Switching Market (Q3162592)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Portfolio Selection in the Enlarged Markovian Regime-Switching Market |
scientific article |
Statements
Portfolio Selection in the Enlarged Markovian Regime-Switching Market (English)
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20 October 2010
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portfolio optimization
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Markovian regime-switching market
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enlargement of market
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geometric Markovian jump securities
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dynamic programming
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Hamilton-Jacobi-Bellman equations
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