Optimal portfolio in a continuous-time self-exciting threshold model (Q380475)
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scientific article; zbMATH DE number 6226871
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal portfolio in a continuous-time self-exciting threshold model |
scientific article; zbMATH DE number 6226871 |
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Optimal portfolio in a continuous-time self-exciting threshold model (English)
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14 November 2013
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portfolio selection
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self-exciting threshold model
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regime switching
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power utility
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logarithmic utility
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