Optimal Portfolio in a Regime-switching Model (Q5746536)
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scientific article; zbMATH DE number 6259472
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal Portfolio in a Regime-switching Model |
scientific article; zbMATH DE number 6259472 |
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Optimal Portfolio in a Regime-switching Model (English)
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19 February 2014
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utility maximization
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regime-switching models
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HJB equation
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mutual fund theorem
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exponential utility
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logarithmic utility
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power utility
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