Optimal investment in multidimensional Markov-modulated affine models
Year of publication: |
November 2015
|
---|---|
Authors: | Neykova, Daniela ; Escobar, Marcos ; Zagst, Rudi |
Published in: |
Annals of finance. - Berlin : Springer, ISSN 1614-2446, ZDB-ID 2174824-X. - Vol. 11.2015, 3/4, p. 503-530
|
Subject: | HJB systems | Utility maximization | Multidimensional affine models | Markov chains | Theorie | Theory | Markov-Kette | Markov chain | Portfolio-Management | Portfolio selection |
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