Continuous-time mean-variance portfolio selection with liability and regime switching
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Publication:659108
DOI10.1016/j.insmatheco.2009.05.005zbMath1231.91417OpenAlexW2014359507MaRDI QIDQ659108
Publication date: 10 February 2012
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2009.05.005
Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Diffusion processes (60J60) Financial applications of other theories (91G80) Portfolio theory (91G10)
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