Robust optimal portfolio choice under Markovian regime-switching model
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Publication:1023980
DOI10.1007/s11009-008-9085-3zbMath1162.91372OpenAlexW1987175004MaRDI QIDQ1023980
Tak Kuen Siu, Robert J. Elliott
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
Differential games (aspects of game theory) (91A23) Optimal stochastic control (93E20) Stochastic games, stochastic differential games (91A15) Portfolio theory (91G10)
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