Portfolio Selection in the Enlarged Markovian Regime-Switching Market
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Publication:3162592
DOI10.1137/080736351zbMath1202.91308OpenAlexW2045877930MaRDI QIDQ3162592
Tak Kuen Siu, Xin Zhang, Qing-bin Meng
Publication date: 20 October 2010
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/080736351
dynamic programmingHamilton-Jacobi-Bellman equationsportfolio optimizationenlargement of marketgeometric Markovian jump securitiesMarkovian regime-switching market
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