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Growth optimal portfolio for unobservable Markov-modulated markets - MaRDI portal

Growth optimal portfolio for unobservable Markov-modulated markets

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Publication:1753737

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DOI10.1504/IJMOR.2012.044471zbMath1390.91275OpenAlexW2078272497MaRDI QIDQ1753737

I. Venkat Appal Raju, N. Selvaraju

Publication date: 29 May 2018

Published in: International Journal of Mathematics in Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1504/ijmor.2012.044471

zbMATH Keywords

hedging stochastic control financial markets contingent claims pricing jump diffusions growth optimal portfolio GOP

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)

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