Pages that link to "Item:Q5256324"
From MaRDI portal
The following pages link to Martingale Approach to Optimal Portfolio-Consumption Problems in Markov-Modulated Pure-Jump Models (Q5256324):
Displaying 9 items.
- On the verification theorem of dynamic portfolio-consumption problems with stochastic market price of risk (Q538323) (← links)
- MDP algorithms for portfolio optimization problems in pure jump markets (Q964693) (← links)
- Log-optimal and numéraire portfolios for market models stopped at a random time (Q2153525) (← links)
- Markov-modulated jump-diffusion models for the short rate: pricing of zero coupon bonds and convexity adjustment (Q2663814) (← links)
- A comonotonic approximation to optimal terminal wealth under a multivariate Merton model with correlated jump risk (Q2698069) (← links)
- Optimal consumption choices with anticipation: Methods of martingale (Q2744547) (← links)
- (Q3762023) (← links)
- Optimal Portfolio and Consumption Policies Subject to Rishel's Important Jump Events Model: Computational Methods (Q5273705) (← links)
- Risk-Based Asset Allocation Under Markov-Modulated Pure Jump Processes (Q5413858) (← links)
