Dynamic asset allocation with multiple regime-switching markets
Year of publication: |
2023
|
---|---|
Authors: | Shi, Jianmin |
Published in: |
International journal of finance & economics : IJFE. - Chichester [u.a.] : Wiley, ISSN 1099-1158, ZDB-ID 1493204-0. - Vol. 28.2023, 2, p. 1741-1755
|
Subject: | compound Markov chains | continuous time | dual regime-switching diffusion | Merton model | optimal control | Theorie | Theory | Portfolio-Management | Portfolio selection | Markov-Kette | Markov chain | Volatilität | Volatility |
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