Optimal regime switching under risk aversion and uncertainty
Year of publication: |
16 January 2017
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Authors: | Chronopoulos, Michail ; Lumbreras, Sara |
Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 256.2017, 2 (16.1.), p. 543-555
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Subject: | Investment analysis | Real options | Regime switching | Risk aversion | Dynamic programming | Theorie | Theory | Risikoaversion | Realoptionsansatz | Real options analysis | Risiko | Risk | Dynamische Optimierung | Portfolio-Management | Portfolio selection |
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