Portfolio Optimization in a Markov Modulated Market ∗
暂无分享,去创建一个
[1] Charles R. Johnson,et al. Matrix analysis , 1985, Statistical Inference for Engineers and Data Scientists.
[2] Thorsten Gerber,et al. Semigroups Of Linear Operators And Applications To Partial Differential Equations , 2016 .
[3] Najmeh Salehi,et al. Risk Sensitive Intertemporal CAPM , 2013 .
[4] E. Süli,et al. Numerical Solution of Partial Differential Equations , 2014 .
[5] Viswanathan Arunachalam,et al. Introduction to Mathematical Finance , 2012 .
[6] Nicole Bäuerle,et al. Portfolio optimization with Markov-modulated stock prices and interest rates , 2004, IEEE Transactions on Automatic Control.
[7] Gang George Yin,et al. Markowitz's mean-variance portfolio selection with regime switching: from discrete-time models to their continuous-time limits , 2004, IEEE Transactions on Automatic Control.
[8] Jakša Cvitanić,et al. Introduction to the Economics and Mathematics of Financial Markets , 2004 .
[9] Toshiki Honda,et al. Optimal portfolio choice for unobservable and regime-switching mean returns , 2003 .
[10] Gang George Yin,et al. Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model , 2003, SIAM J. Control. Optim..
[11] Robert J. Elliott,et al. American options with regime switching , 2002 .
[12] Arnaud de La Fortelle,et al. Large Deviation Principle for Markov Chains in Continuous Time , 2001, Probl. Inf. Transm..
[13] W. Fleming,et al. Risk‐Sensitive Control and an Optimal Investment Model , 2000 .
[14] S. Pliska,et al. Risk-Sensitive Dynamic Asset Management , 1999 .
[15] G. Micula,et al. Numerical Treatment of the Integral Equations , 1999 .
[16] Wendell H. Fleming,et al. Risk-Sensitive Production Planning of a Stochastic Manufacturing System , 1998 .
[17] William M. McEneaney,et al. Risk-Sensitive and Robust Escape Criteria , 1997 .
[18] M. Schweizer. Approximation pricing and the variance-optimal martingale measure , 1996 .
[19] W. Fleming,et al. Risk-Sensitive Control on an Infinite Time Horizon , 1995 .
[20] Wendell H. Fleming. Optimal investment models and risk sensitive stochastic control , 1995 .
[21] Mario Lefebvre,et al. Risk-sensitive optimal investment policy , 1994 .
[22] Hiroshi Konno,et al. Optimal portfolios with asymptotic criteria , 1993, Ann. Oper. Res..
[23] W. Fleming,et al. Controlled Markov processes and viscosity solutions , 1992 .
[24] D. Duffie,et al. Mean-variance hedging in continuous time , 1991 .
[25] R. Kress. Linear Integral Equations , 1989 .
[26] R. Taylor,et al. The Numerical Treatment of Integral Equations , 1978 .
[27] David A. H. Jacobs,et al. The State of the Art in Numerical Analysis. , 1978 .
[28] S. Varadhan,et al. Asymptotic evaluation of certain Markov process expectations for large time , 1975 .
[29] I. I. Gikhman,et al. The Theory of Stochastic Processes II , 1975 .
[30] R. C. Merton,et al. Optimum Consumption and Portfolio Rules in a Continuous-Time Model* , 1975 .
[31] N. H. Hakansson.. MULTI-PERIOD MEAN-VARIANCE ANALYSIS: TOWARD A GENERAL THEORY OF PORTFOLIO CHOICE* , 1971 .
[32] P. Samuelson. LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING , 1969 .