Asset allocation under stochastic interest rate with regime switching
Yang Shen; Tak Kuen Siu
| Year of publication: |
2012
|
|---|---|
| Authors: | Shen, Yang ; Siu, Tak Kuen |
| Published in: |
Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 29.2012, 4, p. 1126-1136
|
| Subject: | Stochastic interest rate | Regime-switching | Stochastic flows | Dynamic programming principle | HJB equation | Stochastischer Prozess | Stochastic process | Portfolio-Management | Portfolio selection | Zins | Interest rate | Dynamische Optimierung | Dynamic programming | Markov-Kette | Markov chain | Optionspreistheorie | Option pricing theory |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009667429