HARA utility maximization in a Markov-switching bond-stock market (Q4555174)
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scientific article; zbMATH DE number 6981285
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| English | HARA utility maximization in a Markov-switching bond-stock market |
scientific article; zbMATH DE number 6981285 |
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HARA utility maximization in a Markov-switching bond–stock market (English)
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19 November 2018
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portfolio optimization
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Markov chains
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HARA utility
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Hamilton-Jacobi-Bellman equations
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0.8098270297050476
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0.7881488800048828
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0.7874047756195068
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0.7779173851013184
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0.7777958512306213
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