Portfolio optimization in a regime-switching market with derivatives
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Cites work
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Cited in
(38)- A finite-horizon optimal investment and consumption problem using regime-switching models
- A multi-period fuzzy portfolio optimization model with minimum transaction lots
- Explicit solutions to utility maximization problems in a regime-switching market model via Laplace transforms
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- scientific article; zbMATH DE number 6006809 (Why is no real title available?)
- Optimal portfolios with regime switching and value-at-risk constraint
- Dynamic derivative-based investment strategy for mean-variance asset-liability management with stochastic volatility
- Penalized schemes for Hamilton-Jacobi-Bellman quasi-variational inequalities arising in regime switching utility maximization with optimal stopping
- Risk sensitive portfolio optimization with default contagion and regime-switching
- Credibilistic mean-entropy models for multi-period portfolio selection with multi-choice aspiration levels
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- Pandemic portfolio choice
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- A decomposition method for optimal portfolios with regime-switching and risk constraint
- Optimal investment-reinsurance strategy with derivatives trading under the joint interests of an insurer and a reinsurer
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