PORTFOLIO OPTIMIZATION IN AFFINE MODELS WITH MARKOV SWITCHING
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Publication:2947343
DOI10.1142/S0219024915500302zbMath1337.91077arXiv1403.5247MaRDI QIDQ2947343
Daniela Neykova, Rudi Zagst, Marcos Escobar
Publication date: 22 September 2015
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1403.5247
Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10) Applications of continuous-time Markov processes on discrete state spaces (60J28)
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