Optimal asset allocation problems under the discrete-time regime-switching model
- 張家俊
- Cheung, Ka-chun
DOIAbstract
published_or_final_versiontocabstractStatistics and Actuarial ScienceDoctoralDoctor of Philosoph
published_or_final_versiontocabstractStatistics and Actuarial ScienceDoctoralDoctor of Philosoph
We investigate an optimal asset allocation problem in a Markovian regime-switching financial market ...
© 2017, Springer Japan. This paper examines discrete-time optimal control problems arising in the co...
SIGLEAvailable from British Library Document Supply Centre-DSC:3597.5718(2003) / BLDSC - British Lib...
In this paper, we study the optimal asset allocation problem under a discrete regime switching model...
Abstract—We discuss an optimal asset allocation problem in a wide class of discrete-time regime-swit...
We discuss an optimal asset allocation problem in a wide class of discrete-time regime-switching mod...
We solve a portfolio choice problem when expected returns, covariances, and trading costs follow a r...
Research articleWe discuss the asset allocation problem in the important class of parametric non-lin...
This paper investigates the optimal asset allocation of a financial institution whose customers are ...
We consider the optimal asset allocation problem in a continuous-time regime-switching market. The p...
This paper investigates the optimal asset allocation of a financial institution whose customers are ...
This paper develops a continuous time modeling approach for making optimal asset allocation decision...
This dissertation studies the problem of dynamically trading between taxable and nontaxable assets i...
Investment and risk control are becoming increasingly important for financial institutions. Asset al...
Theoretical thesis.Bibliography: pages 145-155.1. Introduction -- 2. Option valuation under a double...
We investigate an optimal asset allocation problem in a Markovian regime-switching financial market ...
© 2017, Springer Japan. This paper examines discrete-time optimal control problems arising in the co...
SIGLEAvailable from British Library Document Supply Centre-DSC:3597.5718(2003) / BLDSC - British Lib...
In this paper, we study the optimal asset allocation problem under a discrete regime switching model...
Abstract—We discuss an optimal asset allocation problem in a wide class of discrete-time regime-swit...
We discuss an optimal asset allocation problem in a wide class of discrete-time regime-switching mod...
We solve a portfolio choice problem when expected returns, covariances, and trading costs follow a r...
Research articleWe discuss the asset allocation problem in the important class of parametric non-lin...
This paper investigates the optimal asset allocation of a financial institution whose customers are ...
We consider the optimal asset allocation problem in a continuous-time regime-switching market. The p...
This paper investigates the optimal asset allocation of a financial institution whose customers are ...
This paper develops a continuous time modeling approach for making optimal asset allocation decision...
This dissertation studies the problem of dynamically trading between taxable and nontaxable assets i...
Investment and risk control are becoming increasingly important for financial institutions. Asset al...
Theoretical thesis.Bibliography: pages 145-155.1. Introduction -- 2. Option valuation under a double...
We investigate an optimal asset allocation problem in a Markovian regime-switching financial market ...
© 2017, Springer Japan. This paper examines discrete-time optimal control problems arising in the co...
SIGLEAvailable from British Library Document Supply Centre-DSC:3597.5718(2003) / BLDSC - British Lib...
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