Portfolio optimization in a semi-Markov modulated market
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Publication:843965
DOI10.1007/S00245-009-9074-0zbMath1187.91199OpenAlexW2092674250MaRDI QIDQ843965
Anindya Goswami, Mrinal K. Ghosh, Suresh K. Kumar
Publication date: 18 January 2010
Published in: Applied Mathematics and Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00245-009-9074-0
Discrete-time Markov processes on general state spaces (60J05) Optimal stochastic control (93E20) Portfolio theory (91G10)
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Risk Sensitive Portfolio Optimization in a Jump Diffusion Model with Regimes ⋮ Risk-sensitive control of continuous time Markov chains
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