Dynamic Control of the Investment Portfolio in the Jump-Diffusion Financial Market with Regime Switching-Reference-Cited by-同舟云学术

Dynamic Control of the Investment Portfolio in the Jump-Diffusion Financial Market with Regime Switching

Published:2005-05 Issue:5 Volume:66 Page:837-850
ISSN:0005-1179
Container-title:Automation and Remote Control
language:en
Short-container-title:Autom Remote Control

Author:

Gal’perin V. A.,Dombrovsky V. V.,Fedosov E. N.

Publisher

Springer Science and Business Media LLC

Subject

Control and Systems Engineering,Electrical and Electronic Engineering

Link

http://link.springer.com/content/pdf/10.1007/s10513-005-0127-9.pdf

Reference28 articles.

1. Sharp, W., Aleksander, G., and Bailey, J., Investitsii (Investments), Moscow: INFRA-M, 1997.

2. Lukashin, Yu.P., Optimization of the Investment Portfolio Structure, Econ. Mat. Metod., 1995, vol. 31, no.1, pp. 138–150.

3. Markowitz, H.M., Portfolio Selection, J. Finance, 1952, vol. 7, no.1, pp. 77–91.

4. Merton, R.C., Continuous-Time Finance, Cambridge: Balckwell, 1990.

5. Pervozvanskii, A.A., The Optimal Investment Portfolio in the Nonstationary Nonequilibrium Market, Econ. Mat. Metod., 1999, vol. 35, no.3, pp. 63–68.

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