Optimal investment under dual risk model and Markov modulated financial market
Lin Xu; Liming Zhang; Dongjin Zhu
| Year of publication: |
2015
|
|---|---|
| Authors: | Xu, Lin ; Zhang, Liming ; Zhu, Dongjin |
| Published in: |
Journal of mathematical finance. - [S.l.] : Scientific Research, ISSN 2162-2434, ZDB-ID 2657377-5. - Vol. 5.2015, 2, p. 157-171
|
| Subject: | Optimal Investment | Dual Risk Model | Markov Modulated Model | HJB Equation | Theorie | Theory | Markov-Kette | Markov chain | Portfolio-Management | Portfolio selection | Finanzmarkt | Financial market | Risiko | Risk | Mathematische Optimierung | Mathematical programming | Risikomanagement | Risk management | Risikomodell | Risk model |
| 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/10011398985