Portfolio optimization using regime-switching stochastic interest rate and stochastic volatility models (Q2337436)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Portfolio optimization using regime-switching stochastic interest rate and stochastic volatility models |
scientific article |
Statements
Portfolio optimization using regime-switching stochastic interest rate and stochastic volatility models (English)
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20 November 2019
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continuous-time portfolio optimization
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stochastic interest rate
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regime-switching Heston model
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0.9302191
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0.92860115
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0.92340326
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0.9221884
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0.9213955
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0.9119814
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0.9055689
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