OPTIMAL ASSET ALLOCATION WITH STOCHASTIC INTEREST RATES IN REGIME-SWITCHING MODELS
DOI10.1142/S0219024918500322zbMATH Open1396.91708OpenAlexW2809122843MaRDI QIDQ4584699FDOQ4584699
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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
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portfolio optimizationstochastic controloptimal asset allocationstochastic interest rateregime-switching modelspower utility
Portfolio theory (91G10) Interest rates, asset pricing, etc. (stochastic models) (91G30) Optimal stochastic control (93E20)
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- PORTFOLIO OPTIMIZATION WITH JUMPS AND UNOBSERVABLE INTENSITY PROCESS
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- Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model
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- Title not available (Why is that?)
- Portfolio Optimization With Markov-Modulated Stock Prices and Interest Rates
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Cited In (6)
- Portfolio optimization using regime-switching stochastic interest rate and stochastic volatility models
- Strategic asset allocation with switching dependence
- Asset Allocation with Regime-Switching: Discrete-Time Case
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- Asset allocation under multivariate regime switching
- Optimal asset allocation under search frictions and stochastic interest rate
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