Portfolio Optimization With Markov-Modulated Stock Prices and Interest Rates
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Publication:5273715
DOI10.1109/TAC.2004.824471zbMath1366.91135MaRDI QIDQ5273715
Publication date: 12 July 2017
Published in: IEEE Transactions on Automatic Control (Search for Journal in Brave)
Optimal stochastic control (93E20) Interest rates, asset pricing, etc. (stochastic models) (91G30) Markov and semi-Markov decision processes (90C40) Portfolio theory (91G10)
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