Optimal Portfolio in a Regime-switching Model
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Publication:5746536
DOI10.1007/978-3-0348-0545-2_22zbMath1281.91146MaRDI QIDQ5746536
Adrian Roy L. Valdez, Tiziano Vargiolu
Publication date: 19 February 2014
Published in: Seminar on Stochastic Analysis, Random Fields and Applications VII (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-3-0348-0545-2_22
HJB equation; utility maximization; regime-switching models; exponential utility; logarithmic utility; power utility; mutual fund theorem
60H30: Applications of stochastic analysis (to PDEs, etc.)
91G10: Portfolio theory
35K40: Second-order parabolic systems
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