Continuous-time optimal portfolio choice under regime-switching
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Publication:3131272
DOI10.13195/J.KZYJC.2016.0330zbMATH Open1389.91093MaRDI QIDQ3131272FDOQ3131272
Authors: Zhiying Chen 
Publication date: 29 January 2018
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Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)
Cited In (16)
- Portfolio selection with regime-switching and state-dependent preferences
- Portfolio optimization using regime-switching stochastic interest rate and stochastic volatility models
- Optimal portfolio choice for unobservable and regime-switching mean returns
- OPTIMAL ASSET ALLOCATION WITH STOCHASTIC INTEREST RATES IN REGIME-SWITCHING MODELS
- Dynamic portfolio choice under ambiguity and regime switching mean returns
- Asset allocation under multivariate regime switching
- Optimal portfolio management rules in a non-Gaussian market with durability and intertemporal substitution
- Optimal stock liquidation in a regime switching model with finite time horizon
- Signal-to-noise matrix and model reduction in continuous-time hidden Markov models
- Continuous-time mean-variance portfolio selection with no-shorting constraints and regime-switching
- Recursive risk measures under regime switching applied to portfolio selection
- Portfolio optimization under dynamic risk constraints: continuous vs. discrete time trading
- Optimal portfolios with regime switching and value-at-risk constraint
- A decomposition method for optimal portfolios with regime-switching and risk constraint
- 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
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