Optimal portfolio choice for unobservable and regime-switching mean returns
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Publication:951435
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Cited in
(52)- Asset allocation under multivariate regime switching
- Nonzero-sum stochastic differential portfolio games under a Markovian regime switching model
- Dual control Monte-Carlo method for tight bounds of value function in regime switching utility maximization
- Optimal investment management for a defined contribution pension fund under imperfect information
- Optimal trading strategy for an investor: the case of partial information
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- Partial information about contagion risk, self-exciting processes and portfolio optimization
- Time-consistent investment policies in Markovian markets: a case of mean-variance analysis
- Pandemic portfolio choice
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- Portfolio choice, portfolio liquidation, and portfolio transition under drift uncertainty
- Portfolio selection with regime-switching and state-dependent preferences
- The effect of exit strategy on optimal portfolio selection with birandom returns
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- Asset allocation and asset pricing in the face of systemic risk: a literature overview and assessment
- Precautionary saving demand and consumption dynamics with the spirit of capitalism and regime switching
- Regime switching term structure model under partial information
- Continuous-time optimal portfolio choice under regime-switching
- EXPLICIT SOLUTIONS OF CONSUMPTION-INVESTMENT PROBLEMS IN FINANCIAL MARKETS WITH REGIME SWITCHING
- Optimal portfolios with maximum value-at-risk constraint under a hidden Markovian regime-switching model
- Dynamic asset-liability management in a Markov market with stochastic cash flows
- Recursive risk measures under regime switching applied to portfolio selection
- Welfare effects of information and rationality in portfolio decisions under parameter uncertainty
- An optimal consumption and investment problem with partial information
- A self-exciting switching jump diffusion: properties, calibration and hitting time
- Real options under a double exponential jump-diffusion model with regime switching and partial information
- A martingale approach for asset allocation with derivative security and hidden economic risk
- Risk seeking, nonconvex remuneration and regime switching
- Expert opinions and logarithmic utility maximization for multivariate stock returns with Gaussian drift
- Extremal behavior of long-term investors with power utility
- A mathematical analysis of technical analysis
- Pricing variance and volatility swaps in a stochastic volatility model with regime switching: discrete observations case
- Optimal proportional reinsurance to maximize an insurer’s exponential utility under unobservable drift
- OPTIMAL INVESTMENT UNDER PARTIAL INFORMATION AND ROBUST VAR-TYPE CONSTRAINT
- Dynamic portfolio choice under ambiguity and regime switching mean returns
- Optimal investment in ambiguous financial markets with learning
- Duality in optimal consumption-investment problems with alternative data
- Optimal harvesting policy of an inland fishery resource under incomplete information
- Optimal investment and reinsurance strategies for an insurer with regime-switching
- Penalized schemes for Hamilton-Jacobi-Bellman quasi-variational inequalities arising in regime switching utility maximization with optimal stopping
- Optimal investment and risk control for an insurer in a jump-diffusion market with regime-switching
- Optimal portfolio choice with ESG considerations and asymmetric information
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- Portfolio optimization in a semi-Markov modulated market
- Optimal investment under partial information
- Optimal portfolios with regime switching and value-at-risk constraint
- Regime switching volatility calibration by the Baum-Welch method
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