Pages that link to "Item:Q1023980"
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The following pages link to Robust optimal portfolio choice under Markovian regime-switching model (Q1023980):
Displaying 28 items.
- Robust optimal portfolio and proportional reinsurance for an insurer under a CEV model (Q282274) (← links)
- Portfolio optimization in a regime-switching market with derivatives (Q297212) (← links)
- Optimal investment in multidimensional Markov-modulated affine models (Q902185) (← links)
- On risk minimizing portfolios under a Markovian regime-switching Black-Scholes economy (Q993724) (← links)
- Optimal investment of variance-swaps in jump-diffusion market with regime-switching (Q1655762) (← links)
- Time consistent multi-period robust risk measures and portfolio selection models with regime-switching (Q1754334) (← links)
- Stochastic differential portfolio games for an insurer in a jump-diffusion risk process (Q1935921) (← links)
- Optimal proportional reinsurance and investment with regime-switching for mean-variance insurers (Q2015659) (← links)
- A regime-switching model with applications to finance: Markovian and non-Markovian cases (Q2058268) (← links)
- Robust utility maximization under model uncertainty via a penalization approach (Q2120592) (← links)
- Unilateral counterparty risk valuation of CDS using a regime-switching intensity model (Q2446699) (← links)
- Optimal credit investment and risk control for an insurer with regime-switching (Q2633456) (← links)
- Robust Markowitz: comprehensively maximizing Sharpe ratio by parametric-quadratic programming (Q2691241) (← links)
- A robust Markowitz mean-variance portfolio selection model with an intractable claim (Q2797756) (← links)
- Pricing credit derivatives in a Markov-modulated reduced-form model (Q2842530) (← links)
- Portfolio optimization under model uncertainty and BSDE games (Q2866379) (← links)
- Pricing Defaultable Bonds in a Markov Modulated Market (Q2893288) (← links)
- PORTFOLIO OPTIMIZATION IN AFFINE MODELS WITH MARKOV SWITCHING (Q2947343) (← links)
- Markowitz's Mean-Variance Asset–Liability Management with Regime Switching: A Multi-Period Model (Q3004474) (← links)
- Continuous-time optimal portfolio choice under regime-switching (Q3131272) (← links)
- A stochastic differential game for optimal investment of an insurer with regime switching (Q3169215) (← links)
- Analytic value function for optimal regime-switching pairs trading rules (Q4554446) (← links)
- HARA utility maximization in a Markov-switching bond–stock market (Q4555174) (← links)
- Switching Strategies for Sequential Decision Problems With Multiplicative Loss With Application to Portfolios (Q4569699) (← links)
- Robust optimal R&D investment under technical uncertainty in a regime-switching environment (Q5085234) (← links)
- Pension funding problem with regime‐switching geometric Brownian motion assets and liabilities (Q5391298) (← links)
- OPTION PRICING USING A REGIME SWITCHING STOCHASTIC DISCOUNT FACTOR (Q5420701) (← links)
- Household consumption-investment-insurance decisions with uncertain income and market ambiguity (Q5861811) (← links)