Portfolio optimization in a semi-Markov modulated market
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Publication:843965
DOI10.1007/S00245-009-9074-0zbMATH Open1187.91199OpenAlexW2092674250MaRDI QIDQ843965FDOQ843965
Authors: Mrinal K. Ghosh, Anindya Goswami, Suresh Kumar 
Publication date: 18 January 2010
Published in: Applied Mathematics and Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00245-009-9074-0
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- scientific article; zbMATH DE number 2015387
Portfolio theory (91G10) Discrete-time Markov processes on general state spaces (60J05) Optimal stochastic control (93E20)
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Cited In (9)
- Dynamic programming for semi-Markov modulated SDEs
- PORTFOLIO OPTIMIZATION IN AFFINE MODELS WITH MARKOV SWITCHING
- Dynamic portfolio decision under the hidden semi-Markov market
- Evaluation of portfolio decision improvements by Markov modulated diffusion processes: a Shapley value approach
- Title not available (Why is that?)
- Portfolio optimization in stochastic markets
- Risk sensitive portfolio optimization in a jump diffusion model with regimes
- Optimal investment in multidimensional Markov-modulated affine models
- Risk-sensitive control of continuous time Markov chains
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