Nearly-optimal asset allocation in hybrid stock investment models.
From MaRDI portal
(Redirected from Publication:703185)
Recommendations
- An optimal investment model with Markov-driven volatilities
- PORTFOLIO OPTIMIZATION IN AFFINE MODELS WITH MARKOV SWITCHING
- A higher-order hidden Markov chain-modulated model for asset allocation
- Asset Allocation with Regime-Switching: Discrete-Time Case
- Strategic asset allocation under a fractional hidden Markov model
Cites work
- scientific article; zbMATH DE number 3951715 (Why is no real title available?)
- scientific article; zbMATH DE number 158461 (Why is no real title available?)
- scientific article; zbMATH DE number 1055921 (Why is no real title available?)
- scientific article; zbMATH DE number 1095739 (Why is no real title available?)
- scientific article; zbMATH DE number 1113626 (Why is no real title available?)
- scientific article; zbMATH DE number 1517499 (Why is no real title available?)
- scientific article; zbMATH DE number 1869203 (Why is no real title available?)
- scientific article; zbMATH DE number 1869272 (Why is no real title available?)
- scientific article; zbMATH DE number 3274494 (Why is no real title available?)
- Asymptotic properties of a singularly perturbed Markov chain with inclusion of transient states.
- Investment-Consumption Models with Transaction Fees and Markov-Chain Parameters
- Stock trading: an optimal selling rule
Cited in
(24)- Constrained stochastic estimation algorithms for a class of hybrid stock market models
- A finite-horizon optimal investment and consumption problem using regime-switching models
- A trend-following strategy: conditions for optimality
- Two-player zero-sum stochastic differential games with regime switching
- Dynamic programming for semi-Markov modulated SDEs
- 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
- Stock loan valuation under a regime-switching model with mean-reverting and finite maturity
- OPTIMAL ASSET ALLOCATION WITH STOCHASTIC INTEREST RATES IN REGIME-SWITCHING MODELS
- 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
- Maximum principle for optimal control problems of forward-backward regime-switching system and applications
- Optimal consumption-investment with constraints in a regime switching market with random coefficients
- 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
This page was built for publication: Nearly-optimal asset allocation in hybrid stock investment models.
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q703185)
