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Optimal investment strategies under affine Markov-switching models : theory, examples and implementation

Neykova, Daniela - 2016

diffusion processes and by a Markov chain. Based on the semimartingale characterization of Markov chains we apply the Hamilton …

Persistent link: https://www.econbiz.de/10011475639

Utility maximization, duality, price for risk, semimartingale represenations & continuous time CAPM

Leitner, Johannes - 2001 - 1. Aufl.

Persistent link: https://www.econbiz.de/10001626257

On the pricing and hedging of credit risk in incomplete markets

Lotz, Christopher - 2000

Persistent link: https://www.econbiz.de/10001481836

Constrained portfolio optimization

Müller, Stephan - 2005

The thesis considers an investor's problem of optimal consumption and portfolio choice in a financial market. The model used for the financial market is the semimartingales model. The thesis shows that an optimal solution to this problem exists, even if the investor is contrained in the...