Portfolio optimization in a regime-switching market with derivatives
Jun Fu; Jiaqin Wei; Hailiang Yang
| Year of publication: |
2014
|
|---|---|
| Authors: | Fu, Jun ; Wei, Jiaqin ; Yang, Hailiang |
| Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 233.2014, 1 (16.2.), p. 184-192
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| Subject: | Functional operator | Elasticity approach | Portfolio optimization | Regime switching | Dynamic programming principle | Portfolio-Management | Portfolio selection | Theorie | Theory | Derivat | Derivative | Dynamische Optimierung | Dynamic programming | Markov-Kette | Markov chain | Mathematische Optimierung | Mathematical programming |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010225264