Portfolio optimization for jump-diffusion risky assets with regime switching: a time-consistent approach
type: Item
instance of: scholarly article
title: Portfolio optimization for jump-diffusion risky assets with regime switching: a time-consistent approach
zbMATH Open document ID: 1499.62397
author: Caibin Zhang
author: Zhibin Liang
author: Kam Chuen Yuen
published in: Journal of Industrial and Management Optimization
publication date: 2022-02-16T00:00:00Z
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 93E20
zbMATH DE Number: 7475194
zbMATH Keywords: mean-variance
zbMATH Keywords: portfolio selection
zbMATH Keywords: Markov regime-switching
zbMATH Keywords: jump-diffusion
zbMATH Keywords: common shock
zbMATH Keywords: no short selling
zbMATH Keywords: extended Hamilton-Jacobi-Bellman equation
MaRDI profile type: Publication
full work available at URL: jimo.2020156
OpenAlex ID: W3097388126
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DOI: 10.3934/JIMO.2020156
description: scientific article; zbMATH DE number 7475194