Evaluation of portfolio decision improvements by Markov modulated diffusion processes: a Shapley value approach (Q2008314)
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scientific article; zbMATH DE number 7135928
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Evaluation of portfolio decision improvements by Markov modulated diffusion processes: a Shapley value approach |
scientific article; zbMATH DE number 7135928 |
Statements
Evaluation of portfolio decision improvements by Markov modulated diffusion processes: a Shapley value approach (English)
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25 November 2019
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Shapley value
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portfolio optimization
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Markov modulated diffusion processes
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HJB equation
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Itô's lemma
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feedback optimization
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