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Portfolio selection
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Optimal portfolio selection in an Itô-Markov additive market
Palmowski, Zbigniew
;
Stettner, Łukasz
;
Sulima, Anna
- In:
Risks : open access journal
7
(
2019
)
1/34
,
pp. 1-13
described by
Markov
additive
processes
that combine Lévy processes and regime switching models. Thus, the model takes into …
Persistent link: https://www.econbiz.de/10012015778
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