Portfolio optimization in a regime-switching market with derivatives
Year of publication: |
2014
|
---|---|
Authors: | Fu, Jun ; Wei, Jiaqin ; Yang, Hailiang |
Published in: |
European Journal of Operational Research. - Elsevier, ISSN 0377-2217. - Vol. 233.2014, 1, p. 184-192
|
Publisher: |
Elsevier |
Subject: | Functional operator | Elasticity approach | Portfolio optimization | Regime switching | Dynamic programming principle |
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