PORTFOLIO OPTIMIZATION IN AFFINE MODELS WITH MARKOV SWITCHING (Q2947343)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | PORTFOLIO OPTIMIZATION IN AFFINE MODELS WITH MARKOV SWITCHING |
scientific article |
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PORTFOLIO OPTIMIZATION IN AFFINE MODELS WITH MARKOV SWITCHING (English)
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22 September 2015
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utility maximization
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HJB equations
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affine models
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Markov switching
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