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

DOI10.1007/S10513-005-0127-9zbMATH Open1081.91016OpenAlexW2039934435MaRDI QIDQ2487604FDOQ2487604

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

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Mathematics Subject Classification ID

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

Cites Work

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• Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model
• Markowitz's Mean-Variance Portfolio Selection With Regime Switching: From Discrete-Time Models to Their Continuous-Time Limits
• Robust parameter estimation for asset price models with Markov modulated volatilities
• The matrix minimum principle
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• Exact adaptive filters for Markov chains observed in Gaussian noise
• State estimation and control synthesis for discrete linear systems with additive and multiplicative noise
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• Pricing stock and bond derivatives with a multi-factor Gaussian model
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Cited In (12)

• Title not available (Why is that?)
• 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
• Title not available (Why is that?)
• Optimal investment and reinsurance strategies for an insurer with regime-switching
• Dynamic network model of investment control for quadratic risk function
• Predictive control of systems with Markovian jumps under constraints and its application to the investment portfolio optimization
• Portfolio strategy of financial market with regime switching driven by geometric Lévy process

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