OPTIMAL ASSET ALLOCATION WITH STOCHASTIC INTEREST RATES IN REGIME-SWITCHING MODELS

DOI10.1142/S0219024918500322MaRDI QIDQ4584699zbMATH OpenOpenAlexFDO

Authors

Publication date 4 September 2018

Published in International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/s0219024918500322

zbMATH Keywords

portfolio optimizationstochastic controloptimal asset allocationstochastic interest rateregime-switching modelspower utility

Mathematics Subject Classification ID

Portfolio theory (91G10) Interest rates, asset pricing, etc. (stochastic models) (91G30) Optimal stochastic control (93E20)

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Cites work

• scientific article; zbMATH DE number 1113626 (Why is no real title available?)
• A Regime-Switching Model of Long-Term Stock Returns
• A Stochastic Control Approach to Portfolio Problems with Stochastic Interest Rates
• Controlled Markov processes and viscosity solutions
• EXPLICIT SOLUTIONS OF CONSUMPTION-INVESTMENT PROBLEMS IN FINANCIAL MARKETS WITH REGIME SWITCHING
• Hybrid switching diffusions. Properties and applications
• Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model
• Nearly-optimal asset allocation in hybrid stock investment models.
• Optimizing the terminal wealth under partial information: the drift process as a continuous time Markov chain
• PORTFOLIO OPTIMIZATION WITH JUMPS AND UNOBSERVABLE INTENSITY PROCESS
• Portfolio Optimization With Markov-Modulated Stock Prices and Interest Rates
• Portfolio optimization in a regime-switching market with derivatives
• Portfolio optimization with unobservable Markov-modulated drift process
• Portfolio selection in the enlarged Markovian regime-switching market

Cited in

(6)

• Asset Allocation with Regime-Switching: Discrete-Time Case
• Optimal asset allocation under search frictions and stochastic interest rate
• Strategic asset allocation with switching dependence
• scientific article; zbMATH DE number 5657872 (Why is no real title available?)
• Portfolio optimization using regime-switching stochastic interest rate and stochastic volatility models
• Asset allocation under multivariate regime switching

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