Dynamic portfolio choice under ambiguity and regime switching mean returns (Q631261)
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scientific article; zbMATH DE number 5869236
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Dynamic portfolio choice under ambiguity and regime switching mean returns |
scientific article; zbMATH DE number 5869236 |
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Dynamic portfolio choice under ambiguity and regime switching mean returns (English)
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22 March 2011
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hidden Markov model
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Malliavin derivative
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portfolio choice
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recursive multiple priors
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