Robust optimal portfolio choice under Markovian regime-switching model
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Cites work
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- Markowitz's Mean-Variance Portfolio Selection With Regime Switching: From Discrete-Time Models to Their Continuous-Time Limits
- Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model
- Maxmin expected utility with non-unique prior
- On dynamic measure of risk
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Cited in
(29)- Switching Strategies for Sequential Decision Problems With Multiplicative Loss With Application to Portfolios
- Analytic value function for optimal regime-switching pairs trading rules
- Portfolio selection in the enlarged Markovian regime-switching market
- A robust Markowitz mean-variance portfolio selection model with an intractable claim
- On risk minimizing portfolios under a Markovian regime-switching Black-Scholes economy
- Portfolio optimization under model uncertainty and BSDE games
- Optimal credit investment and risk control for an insurer with regime-switching
- Option pricing using a regime switching stochastic discount factor
- Stochastic differential portfolio games for an insurer in a jump-diffusion risk process
- Pricing defaultable bonds in a Markov modulated market
- 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
- 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
- Optimal investment of variance-swaps in jump-diffusion market with regime-switching
- Continuous-time optimal portfolio choice under regime-switching
- Unilateral counterparty risk valuation of CDS using a regime-switching intensity model
- A stochastic differential game for optimal investment of an insurer with regime switching
- PORTFOLIO OPTIMIZATION IN AFFINE MODELS WITH MARKOV SWITCHING
- Household consumption-investment-insurance decisions with uncertain income and market ambiguity
- Pricing credit derivatives in a Markov-modulated reduced-form model
- Robust Markowitz: comprehensively maximizing Sharpe ratio by parametric-quadratic programming
- Pension funding problem with regime-switching geometric Brownian motion assets and liabilities
- Robust utility maximization under model uncertainty via a penalization approach
- A regime-switching model with applications to finance: Markovian and non-Markovian cases
- Optimal investment in multidimensional Markov-modulated affine models
- Portfolio optimization in a regime-switching market with derivatives
- Robust optimal R\&D investment under technical uncertainty in a regime-switching environment
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