Pages that link to "Item:Q951435"
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The following pages link to Optimal portfolio choice for unobservable and regime-switching mean returns (Q951435):
Displaying 40 items.
- Optimal investment and consumption under partial information (Q261540) (← links)
- Precautionary saving demand and consumption dynamics with the spirit of capitalism and regime switching (Q298369) (← links)
- Optimal portfolios with maximum value-at-risk constraint under a hidden Markovian regime-switching model (Q340669) (← links)
- Dynamic portfolio choice under ambiguity and regime switching mean returns (Q631261) (← links)
- Portfolio optimization in a semi-Markov modulated market (Q843965) (← links)
- Optimal investment under partial information (Q966433) (← links)
- Regime switching volatility calibration by the Baum-Welch method (Q989132) (← links)
- Asset allocation under multivariate regime switching (Q1027430) (← links)
- Nonzero-sum stochastic differential portfolio games under a Markovian regime switching model (Q1666474) (← links)
- Dual control Monte-Carlo method for tight bounds of value function in regime switching utility maximization (Q1683121) (← links)
- Optimal investment management for a defined contribution pension fund under imperfect information (Q1742723) (← links)
- Optimal trading strategy for an investor: the case of partial information (Q1805777) (← links)
- HARA frontiers of optimal portfolios in stochastic markets (Q1926829) (← links)
- Partial information about contagion risk, self-exciting processes and portfolio optimization (Q1994368) (← links)
- Time-consistent investment policies in Markovian markets: a case of mean-variance analysis (Q1994404) (← links)
- Pandemic portfolio choice (Q2083972) (← links)
- A bivariate mutually-excited switching jump diffusion (BMESJD) for asset prices (Q2176372) (← links)
- Finite difference methods for the Hamilton-Jacobi-Bellman equations arising in regime switching utility maximization (Q2219642) (← links)
- Portfolio choice, portfolio liquidation, and portfolio transition under drift uncertainty (Q2323341) (← links)
- Optimal consumption and investment strategies with partial and private information in a multi-asset setting (Q2392018) (← links)
- Incomplete information equilibria: separation theorems and other myths (Q2480220) (← links)
- An HMM approach for optimal investment of an insurer (Q2864634) (← links)
- A FINITE-HORIZON OPTIMAL INVESTMENT AND CONSUMPTION PROBLEM USING REGIME-SWITCHING MODELS (Q2874733) (← links)
- ASSET ALLOCATION AND ASSET PRICING IN THE FACE OF SYSTEMIC RISK: A LITERATURE OVERVIEW AND ASSESSMENT (Q2892981) (← links)
- REGIME SWITCHING TERM STRUCTURE MODEL UNDER PARTIAL INFORMATION (Q3005960) (← links)
- EXPLICIT SOLUTIONS OF CONSUMPTION-INVESTMENT PROBLEMS IN FINANCIAL MARKETS WITH REGIME SWITCHING (Q3393971) (← links)
- Dynamic asset–liability management in a Markov market with stochastic cash flows (Q4554228) (← links)
- Recursive risk measures under regime switching applied to portfolio selection (Q4555153) (← links)
- Welfare effects of information and rationality in portfolio decisions under parameter uncertainty (Q4619541) (← links)
- An optimal consumption and investment problem with partial information (Q5214995) (← links)
- A self-exciting switching jump diffusion: properties, calibration and hitting time (Q5234300) (← links)
- Real options under a double exponential jump-diffusion model with regime switching and partial information (Q5234331) (← links)
- A martingale approach for asset allocation with derivative security and hidden economic risk (Q5235050) (← links)
- RISK SEEKING, NONCONVEX REMUNERATION AND REGIME SWITCHING (Q5249751) (← links)
- EXPERT OPINIONS AND LOGARITHMIC UTILITY MAXIMIZATION FOR MULTIVARIATE STOCK RETURNS WITH GAUSSIAN DRIFT (Q5281724) (← links)
- EXTREMAL BEHAVIOR OF LONG-TERM INVESTORS WITH POWER UTILITY (Q5357512) (← links)
- A Mathematical Analysis of Technical Analysis (Q5378529) (← links)
- Pricing variance and volatility swaps in a stochastic volatility model with regime switching: discrete observations case (Q5397411) (← links)
- Optimal proportional reinsurance to maximize an insurer’s exponential utility under unobservable drift (Q6171940) (← links)
- OPTIMAL INVESTMENT UNDER PARTIAL INFORMATION AND ROBUST VAR-TYPE CONSTRAINT (Q6182055) (← links)
