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Portfolio optimization using regime-switching stochastic interest rate and stochastic volatility models. (English) Zbl 1427.91257

Yin, George (ed.) et al., Modeling, stochastic control, optimization, and applications. Selected papers based on invited talks given at the IMA workshop in modeling, stochastic control, optimization, and related applications, Institute for Mathematics and Its Applications, University of Minnesota, Minneapolis, MN, USA, May 1 – June 30, 2018. Cham: Springer. IMA Vol. Math. Appl. 164, 407-425 (2019).
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