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

DOI10.1007/s10513-005-0127-9zbMath1081.91016OpenAlexW2039934435MaRDI QIDQ2487604

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

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

Related Items

Mean-variance portfolio selection with a stochastic cash flow in a Markov-switching jump-diffusion market ⋮ Predictive control of systems with Markovian jumps under constraints and its application to the investment portfolio optimization ⋮ Correction on ``Optimal portfolio selection when stock prices follow an jump-diffusion process

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