Dynamic asset allocation with multiple regime‐switching markets
Author:
Affiliation:
1. Research institute of Haitong Securities Shanghai China
2. School of Economics and Management Wuhan University Wuhan China
Publisher
Wiley
Subject
Economics and Econometrics,Finance,Accounting
Link
https://onlinelibrary.wiley.com/doi/pdf/10.1002/ijfe.2504
Reference50 articles.
1. Earnings and Consumption Dynamics: A Nonlinear Panel Data Framework
2. Dynamic programming for a Markov-switching jump–diffusion
3. Feynman-Kac formula for switching diffusions: connections of systems of partial differential equations and stochastic differential equations
4. Option-Implied Risk Aversion Estimates
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