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Dynamic portfolio optimization with a defaultable security and regime-switching
Capponi, Agostino; Figueroa-López, José E. - In: Mathematical finance : an international journal of … 24 (2014) 2, pp. 207-249
Persistent link: https://www.econbiz.de/10010357378
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A portfolio optimisation model for credit risky bonds with Markov model credit rating dynamics
Singh, Arti; Dharmaraja, Selvamuthu - In: International journal of financial markets and derivatives 6 (2017) 2, pp. 102-119
Persistent link: https://www.econbiz.de/10011862377
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An extended likelihood framework for modelling discretely observed credit rating transitions
Pfeuffer, Marius; Möstel, Linda; Fischer, Matthias - In: Quantitative finance 19 (2019) 1, pp. 93-104
Persistent link: https://www.econbiz.de/10012194622
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Portfolio optimization under partial information: stochastic volatility in a hidden Markov model
Sass, Jörn; Haussmann, Ulrich G. - In: Operations research proceedings 2003 : selected papers …, (pp. 387-394). 2004
Persistent link: https://www.econbiz.de/10002072557
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Large-scale financial planning via a partially observable stochastic dual dynamic programming framework
Lee, Jinkyu; Kwon, Do-Gyun; Lee, Yongjae; Kim, Jang Ho; … - In: Quantitative finance 23 (2023) 9, pp. 1341-1360
Persistent link: https://www.econbiz.de/10014339931
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Distorted probability operator for dynamic portfolio optimization in times of socio-economic crisis
Uğurlu, Kerem; Brzeczek, Tomasz - In: Central European journal of operations research 31 (2023) 4, pp. 1043-1060
Persistent link: https://www.econbiz.de/10014393005
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A unified algorithm framework for mean-variance optimization in discounted Markov decision processes
Ma, Shuai; Ma, Xiaoteng; Xia, Li - In: European journal of operational research : EJOR 311 (2023) 3, pp. 1057-1067
Persistent link: https://www.econbiz.de/10014440200
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MDP algorithms for portfolio optimization problems in pure jump markets
Bäuerle, Nicole; Rieder, Ulrich - In: Finance and stochastics 13 (2009) 4, pp. 591-611
Persistent link: https://www.econbiz.de/10003899534
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Portfolio optimization in a regime-switching market with derivatives
Fu, Jun; Wei, Jiaqin; Yang, Hailiang - In: European journal of operational research : EJOR 233 (2014) 1, pp. 184-192
Persistent link: https://www.econbiz.de/10010225264
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Dynamic asset allocation for varied financial markets under regime switching framework
Bae, Geum Il; Kim, Woo Chang; Mulvey, John M. - In: European journal of operational research : EJOR 234 (2014) 2, pp. 450-458
Persistent link: https://www.econbiz.de/10010356729