Dynamic portfolio choice under ambiguity and regime switching mean returns

Journal of Economic Dynamics and Control

Volumn 35, Issue 4, 2011, Pages 623-640

  Liu, Hening ^a  

^a UNIVERSITY OF MANCHESTER   (United Kingdom)

Author keywords

Hidden Markov model; Malliavin derivative; Portfolio choice; Recursive multiple priors

Indexed keywords

EID: 79151476253     PISSN: 01651889     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jedc.2010.12.012     Document Type: Article

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