Portfolio optimization for jump-diffusion risky assets with regime switching: a time-consistent approach (Q2076436)
From MaRDI portal
!
This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:
scientific article; zbMATH DE number 7475194
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Portfolio optimization for jump-diffusion risky assets with regime switching: a time-consistent approach |
scientific article; zbMATH DE number 7475194 |
Statements
Portfolio optimization for jump-diffusion risky assets with regime switching: a time-consistent approach (English)
0 references
16 February 2022
0 references
mean-variance
0 references
portfolio selection
0 references
Markov regime-switching
0 references
jump-diffusion
0 references
common shock
0 references
no short selling
0 references
extended Hamilton-Jacobi-Bellman equation
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
