We address a portfolio optimization problem in a semi-Markov modulated market. We study both the terminal expected utility optimization on finite time horizon and the risk-sensitive portfolio optimization on finite and infinite time horizon. We obtain optimal portfolios in relevant cases. A numerical procedure is also developed to compute the optimal expected terminal utility for finite horizon problem
We consider a portfolio optimization problem in a defaultable market with finitely-many economical r...
The problem of maximizing the expected utility is well understood in the context of a complete finan...
A portfolio optimization problem on an infinite-time horizon is considered. Risky asset prices obey ...
We address a portfolio optimization problem in a semi-Markov modulated market. We study both the ter...
We address a portfolio optimization problem in a semi-Markov modulated market. We study both the ter...
We investigate an optimal portfolio selection problem in a continuous-time Markov-modulated financia...
We consider the problem of maximizing the expected utility of the terminal wealth of a portfolio in ...
We investigate an optimal portfolio selection problem in a continuous-time Markov-modulated financia...
We study a portfolio selection problem in a continuous-time Markovian regimeswitching model. The mar...
A financial market with one bond and one stock is considered where the risk free interest rate, the ...
The paper is intended as a survey of some of the main aspects of portfolio optimization in discrete ...
We consider the optimal asset allocation problem in a continuous-time regime-switching market. The p...
Abstract. The Merton problem of optimizing the expected utility of consumption for a portfolio consi...
Portfolio optimization is a long studied problem in mathematical finance which seeks to identify the...
In this paper, we consider the problem of a decision maker who is concerned with the management of a...
We consider a portfolio optimization problem in a defaultable market with finitely-many economical r...
The problem of maximizing the expected utility is well understood in the context of a complete finan...
A portfolio optimization problem on an infinite-time horizon is considered. Risky asset prices obey ...
We address a portfolio optimization problem in a semi-Markov modulated market. We study both the ter...
We address a portfolio optimization problem in a semi-Markov modulated market. We study both the ter...
We investigate an optimal portfolio selection problem in a continuous-time Markov-modulated financia...
We consider the problem of maximizing the expected utility of the terminal wealth of a portfolio in ...
We investigate an optimal portfolio selection problem in a continuous-time Markov-modulated financia...
We study a portfolio selection problem in a continuous-time Markovian regimeswitching model. The mar...
A financial market with one bond and one stock is considered where the risk free interest rate, the ...
The paper is intended as a survey of some of the main aspects of portfolio optimization in discrete ...
We consider the optimal asset allocation problem in a continuous-time regime-switching market. The p...
Abstract. The Merton problem of optimizing the expected utility of consumption for a portfolio consi...
Portfolio optimization is a long studied problem in mathematical finance which seeks to identify the...
In this paper, we consider the problem of a decision maker who is concerned with the management of a...
We consider a portfolio optimization problem in a defaultable market with finitely-many economical r...
The problem of maximizing the expected utility is well understood in the context of a complete finan...
A portfolio optimization problem on an infinite-time horizon is considered. Risky asset prices obey ...
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