Portfolio optimization in a semi-Markov modulated market

DOI10.1007/S00245-009-9074-0MaRDI QIDQ843965zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

risk-sensitive controlsemi-Markov processfixed income securitiesnonnegative factors

Mathematics Subject Classification ID

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
• scientific article; zbMATH DE number 5845882 (Why is no real title available?)
• 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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