Portfolio optimization in affine models with Markov switching

Marcos Escobar; Daniela Neykova and Rudi Zagst

Year of publication:	2015
Authors:	Escobar, Marcos ; Neykova, Daniela ; Zagst, Rudi
Published in:	International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 18.2015, 5, p. 1-46
Subject:	Utility maximization \| HJB equations \| affine models \| Markov switching \| Portfolio-Management \| Portfolio selection \| Markov-Kette \| Markov chain \| Theorie \| Theory \| Zinsstruktur \| Yield curve \| Mathematische Optimierung \| Mathematical programming

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