Optimal investment and consumption in a market with Markovian switching coefficients and borrowing.

Abdullah Aljalal Bujar Gashi

Published in: ICCA (2022)

Keyphrases

investment strategies
optimal portfolio
decision making
weighting coefficients
risk aversion
risk neutral
dynamic programming
linear combination
portfolio management
asset allocation
profit maximizing
market data
stock price
optimal control
worst case
hidden markov models
lower bound