Nearly-optimal asset allocation in hybrid stock investment models.
DOI10.1023/B:JOTA.0000037412.23243.6CzbMATH Open1090.91049OpenAlexW1996194659MaRDI QIDQ703185FDOQ703185
Publication date: 11 January 2005
Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1023/b:jota.0000037412.23243.6c
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Cites Work
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Cited In (24)
- A finite-horizon optimal investment and consumption problem using regime-switching models
- A trend-following strategy: conditions for optimality
- Dynamic programming for semi-Markov modulated SDEs
- Two-player zero-sum stochastic differential games with regime switching
- Dynamic programming for a Markov-switching jump-diffusion
- Explicit solutions to utility maximization problems in a regime-switching market model via Laplace transforms
- Near-optimal control problems for forward-backward regime-switching systems
- Stability of Markov modulated discrete-time dynamic systems.
- Optimal investment of an insurer with regime-switching and risk constraint
- OPTIMAL ASSET ALLOCATION WITH STOCHASTIC INTEREST RATES IN REGIME-SWITCHING MODELS
- Stock loan valuation under a regime-switching model with mean-reverting and finite maturity
- Time-inconsistent optimal control problems with regime-switching
- Option pricing in a regime-switching model using the fast Fourier transform
- Numerical solutions of quantile hedging for guaranteed minimum death benefits under a regime-switching jump-diffusion formulation
- Backward stochastic differential equations with Markov chains and related asymptotic properties
- An HMM approach for optimal investment of an insurer
- Optimal consumption-investment with constraints in a regime switching market with random coefficients
- Maximum principle for optimal control problems of forward-backward regime-switching system and applications
- Optimal control of uncertain stochastic systems with Markovian switching and its applications to portfolio decisions
- Optimal buying at the global minimum in a regime switching model
- EXPLICIT SOLUTIONS OF CONSUMPTION-INVESTMENT PROBLEMS IN FINANCIAL MARKETS WITH REGIME SWITCHING
- Quantile hedging for guaranteed minimum death benefits with regime switching
- Stability of hybrid stochastic delay systems whose discrete components have a large state space: a two-time-scale approach
- Constrained stochastic estimation algorithms for a class of hybrid stock market models
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