Optimal asset allocation with stochastic interest rates in regime-switching models
C. Ye, R. H. Liu and D. Ren
| Year of publication: |
August 2018
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|---|---|
| Authors: | Ye, C. ; Liu, Rui Hua ; Ren, D. |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 21.2018, 5, p. 1-32
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| Subject: | Optimal asset allocation | portfolio optimization | stochastic control | regime-switching models | stochastic interest rate | power utility | Portfolio-Management | Portfolio selection | Stochastischer Prozess | Stochastic process | Theorie | Theory | Zins | Interest rate | Markov-Kette | Markov chain |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S0219024918500322 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011903782