Robust optimal portfolio choice under Markovian regime-switching model

DOI10.1007/s11009-008-9085-3zbMath1162.91372MaRDI 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

Mathematics Subject Classification ID

91A23: Differential games (aspects of game theory)

93E20: Optimal stochastic control

91A15: Stochastic games, stochastic differential games

91G10: Portfolio theory

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