Portfolio optimization for jump-diffusion risky assets with regime switching: a time-consistent approach
DOI10.3934/jimo.2020156zbMath1499.62397OpenAlexW3097388126MaRDI QIDQ2076436
Zhibin Liang, Caibin Zhang, Kam-Chuen Yuen
Publication date: 16 February 2022
Published in: Journal of Industrial and Management Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3934/jimo.2020156
portfolio selectionjump-diffusionmean-varianceMarkov regime-switchingcommon shockextended Hamilton-Jacobi-Bellman equationno short selling
Applications of statistics to actuarial sciences and financial mathematics (62P05) Optimal stochastic control (93E20) Portfolio theory (91G10)
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Cites Work
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