Pages that link to "Item:Q5746536"
From MaRDI portal
The following pages link to Optimal Portfolio in a Regime-switching Model (Q5746536):
Displaying 14 items.
- A numerical study for optimal portfolio regime-switching model. I: 2D Black-Scholes equation with an exponential non-linear term. (Q507925) (← links)
- Optimal portfolios with regime switching and value-at-risk constraint (Q976262) (← links)
- Utility indifference pricing and hedging for structured contracts in energy markets (Q2014372) (← links)
- Fitted finite volume method for indifference pricing in an exponential utility regime-switching model (Q2223806) (← links)
- Portfolio optimization using regime-switching stochastic interest rate and stochastic volatility models (Q2337436) (← links)
- Optimal stock liquidation in a regime switching model with finite time horizon (Q2496679) (← links)
- Portfolio optimization in a defaultable Lévy-driven market model (Q2516636) (← links)
- Value functions in a regime switching jump diffusion with delay market model (Q2671163) (← links)
- Utility Maximization in a Regime Switching Model with Convex Portfolio Constraints and Margin Requirements: Optimality Relations and Explicit Solutions (Q2945607) (← links)
- OPTIMAL ASSET ALLOCATION WITH STOCHASTIC INTEREST RATES IN REGIME-SWITCHING MODELS (Q4584699) (← links)
- A decomposition method for optimal portfolios with regime-switching and risk constraint (Q4921211) (← links)
- Numerical method for optimal portfolio in an exponential utility regime-switching model (Q5030573) (← links)
- Efficient finite difference method for optimal portfolio in a power utility regime-switching model (Q5031703) (← links)
- Numerical Identification of Time-Dependent Volatility in European Options with Two-Stage Regime-Switching (Q5119108) (← links)
