Continuous-time optimal portfolio choice under regime-switching

DOI10.13195/J.KZYJC.2016.0330MaRDI QIDQ3131272zbMATH OpenFDO

Authors Zhiying Chen

Publication date 29 January 2018

zbMATH Keywords

hidden Markov modeloptimal portfolio choicehedging portfoliostate dynamics

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)

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Cited in

(16)

• Switching Strategies for Sequential Decision Problems With Multiplicative Loss With Application to Portfolios
• Utility Maximization in a Regime Switching Model with Convex Portfolio Constraints and Margin Requirements: Optimality Relations and Explicit Solutions
• Recursive risk measures under regime switching applied to portfolio selection
• Optimal portfolio management rules in a non-Gaussian market with durability and intertemporal substitution
• Continuous-time mean-variance portfolio selection with no-shorting constraints and regime-switching
• Dynamic portfolio choice under ambiguity and regime switching mean returns
• Portfolio optimization under dynamic risk constraints: continuous vs. discrete time trading
• A decomposition method for optimal portfolios with regime-switching and risk constraint
• OPTIMAL ASSET ALLOCATION WITH STOCHASTIC INTEREST RATES IN REGIME-SWITCHING MODELS
• Optimal portfolios with regime switching and value-at-risk constraint
• Portfolio optimization using regime-switching stochastic interest rate and stochastic volatility models
• Optimal stock liquidation in a regime switching model with finite time horizon
• Portfolio selection with regime-switching and state-dependent preferences
• Asset allocation under multivariate regime switching
• Optimal portfolio choice for unobservable and regime-switching mean returns
• Signal-to-noise matrix and model reduction in continuous-time hidden Markov models

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