Portfolio optimization for jump-diffusion risky assets with regime switching: a time-consistent approach (Q2076436)
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scientific article; zbMATH DE number 7475194
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Portfolio optimization for jump-diffusion risky assets with regime switching: a time-consistent approach |
scientific article; zbMATH DE number 7475194 |
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Portfolio optimization for jump-diffusion risky assets with regime switching: a time-consistent approach (English)
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16 February 2022
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mean-variance
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portfolio selection
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Markov regime-switching
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jump-diffusion
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common shock
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no short selling
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extended Hamilton-Jacobi-Bellman equation
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