Optimal portfolio selection in an Itô-Markov additive market
Year of publication: |
2019
|
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Authors: | Palmowski, Zbigniew ; Stettner, Łukasz ; Sulima, Anna |
Published in: |
Risks : open access journal. - Basel : MDPI, ISSN 2227-9091, ZDB-ID 2704357-5. - Vol. 7.2019, 1/34, p. 1-13
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Subject: | Markov additive processes | Markov regime switching market | Markovian jump securities | asymptotic arbitrage | complete market | optimal portfolio | Theorie | Theory | Portfolio-Management | Portfolio selection | Markov-Kette | Markov chain |
Type of publication: | Article |
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Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Other identifiers: | 10.3390/risks7010034 [DOI] hdl:10419/257872 [Handle] |
Source: | ECONIS - Online Catalogue of the ZBW |
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