Dynamic control of the investment portfolio in the jump-diffusion financial market with regime switching

DOI10.1007/S10513-005-0127-9MaRDI QIDQ2487604zbMATH OpenOpenAlexFDO

Authors V. A. Gal'perin, E. N. Fedosov, V. V. Dombrovskii

Publication date 8 August 2005

Published in Automation and Remote Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10513-005-0127-9

Mathematics Subject Classification ID

Portfolio theory (91G10) Optimal stochastic control (93E20)

Recommendations

• scientific article; zbMATH DE number 1989783
• Portfolio selection with jumps under regime switching
• scientific article; zbMATH DE number 1989757
• Risk-sensitive investment in a finite-factor model
• Dynamic programming for a Markov-switching jump-diffusion

Cites work

• scientific article; zbMATH DE number 2133113 (Why is no real title available?)
• scientific article; zbMATH DE number 2064643 (Why is no real title available?)
• scientific article; zbMATH DE number 1869269 (Why is no real title available?)
• scientific article; zbMATH DE number 911786 (Why is no real title available?)
• Continuous-time mean-variance portfolio selection: a stochastic LQ framework
• Exact adaptive filters for Markov chains observed in Gaussian noise
• 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
• Pricing stock and bond derivatives with a multi-factor Gaussian model
• Robust parameter estimation for asset price models with Markov modulated volatilities
• State estimation and control synthesis for discrete linear systems with additive and multiplicative noise
• The matrix minimum principle

Cited in

(12)

• scientific article; zbMATH DE number 1989783 (Why is no real title available?)
• Correction on ``Optimal portfolio selection when stock prices follow an jump-diffusion process
• Dynamic network model of managing investment portfolio under random stepwise changes in volatilities of financial assets
• Modeling of the programmed control with probability 1 for some financial tasks
• Predictive control of investment portfolio on the financial market with hidden regime switching and MS VAR model of returns
• Optimal investment of variance-swaps in jump-diffusion market with regime-switching
• Mean-variance portfolio selection with a stochastic cash flow in a Markov-switching jump-diffusion market
• scientific article; zbMATH DE number 1989757 (Why is no real title available?)
• Predictive control of systems with Markovian jumps under constraints and its application to the investment portfolio optimization
• Dynamic network model of investment control for quadratic risk function
• Optimal investment and reinsurance strategies for an insurer with regime-switching
• Portfolio strategy of financial market with regime switching driven by geometric Lévy process

This page was built for publication: Dynamic control of the investment portfolio in the jump-diffusion financial market with regime switching

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2487604)