OPTIMAL ASSET ALLOCATION WITH STOCHASTIC INTEREST RATES IN REGIME-SWITCHING MODELS

DOI10.1142/S0219024918500322zbMath1396.91708OpenAlexW2809122843MaRDI QIDQ4584699

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Publication date: 4 September 2018

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024918500322

zbMATH Keywords

stochastic controlportfolio optimizationstochastic interest rateregime-switching modelsoptimal asset allocationpower utility

Mathematics Subject Classification ID

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

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