Risk Sensitive Portfolio Optimization in a Jump Diffusion Model with Regimes (Q4637645)
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scientific article; zbMATH DE number 6864425
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Risk Sensitive Portfolio Optimization in a Jump Diffusion Model with Regimes |
scientific article; zbMATH DE number 6864425 |
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Risk Sensitive Portfolio Optimization in a Jump Diffusion Model with Regimes (English)
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25 April 2018
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portfolio optimization
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jump diffusion market model
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semi-Markov switching
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risk sensitive criterion
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finite horizon
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