Evaluation of portfolio decision improvements by Markov modulated diffusion processes: a Shapley value approach

DOI10.1007/978-3-030-23699-1_15zbMath1427.91261OpenAlexW2975052114MaRDI QIDQ2008314

Benjamin Vallejo-Jimenez, Mario A. Garcia-Meza

Publication date: 25 November 2019

Full work available at URL: https://doi.org/10.1007/978-3-030-23699-1_15

zbMATH Keywords

Shapley valueHJB equationportfolio optimizationItô's lemmafeedback optimizationMarkov modulated diffusion processes

Mathematics Subject Classification ID

Cooperative games (91A12) Optimal stochastic control (93E20) Portfolio theory (91G10)

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