Robust optimal portfolio choice under Markovian regime-switching model
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Publication:1023980
DOI10.1007/S11009-008-9085-3zbMATH Open1162.91372OpenAlexW1987175004MaRDI QIDQ1023980FDOQ1023980
Authors: Robert J. Elliott, Tak Kuen Siu 
Publication date: 16 June 2009
Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11009-008-9085-3
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Portfolio theory (91G10) Differential games (aspects of game theory) (91A23) Stochastic games, stochastic differential games (91A15) Optimal stochastic control (93E20)
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- Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model
- Markowitz's Mean-Variance Portfolio Selection With Regime Switching: From Discrete-Time Models to Their Continuous-Time Limits
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Cited In (25)
- Pricing credit derivatives in a Markov-modulated reduced-form model
- PORTFOLIO OPTIMIZATION IN AFFINE MODELS WITH MARKOV SWITCHING
- A stochastic differential game for optimal investment of an insurer with regime switching
- Household consumption-investment-insurance decisions with uncertain income and market ambiguity
- Robust optimal portfolio and proportional reinsurance for an insurer under a CEV model
- Time consistent multi-period robust risk measures and portfolio selection models with regime-switching
- HARA utility maximization in a Markov-switching bond–stock market
- Robust utility maximization under model uncertainty via a penalization approach
- Portfolio selection in the enlarged Markovian regime-switching market
- On risk minimizing portfolios under a Markovian regime-switching Black-Scholes economy
- Optimal investment of variance-swaps in jump-diffusion market with regime-switching
- OPTION PRICING USING A REGIME SWITCHING STOCHASTIC DISCOUNT FACTOR
- Robust optimal R&D investment under technical uncertainty in a regime-switching environment
- Analytic value function for optimal regime-switching pairs trading rules
- Stochastic differential portfolio games for an insurer in a jump-diffusion risk process
- Pension funding problem with regime-switching geometric Brownian motion assets and liabilities
- Optimal credit investment and risk control for an insurer with regime-switching
- Robust Markowitz: comprehensively maximizing Sharpe ratio by parametric-quadratic programming
- Optimal investment in multidimensional Markov-modulated affine models
- Pricing Defaultable Bonds in a Markov Modulated Market
- Markowitz's mean-variance asset-liability management with regime switching: a multi-period model
- Optimal proportional reinsurance and investment with regime-switching for mean-variance insurers
- Unilateral counterparty risk valuation of CDS using a regime-switching intensity model
- A robust Markowitz mean-variance portfolio selection model with an intractable claim
- Switching Strategies for Sequential Decision Problems With Multiplicative Loss With Application to Portfolios
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