Portfolio optimization using regime-switching stochastic interest rate and stochastic volatility models

DOI10.1007/978-3-030-25498-8_17zbMATH Open1427.91257OpenAlexW2957492985MaRDI QIDQ2337436

Yanyan Li

Publication date: 20 November 2019

Full work available at URL: https://doi.org/10.1007/978-3-030-25498-8_17

zbMATH Keywords

stochastic interest ratecontinuous-time portfolio optimizationregime-switching Heston model

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Optimal stochastic control (93E20) Interest rates, asset pricing, etc. (stochastic models) (91G30) Portfolio theory (91G10)

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