Growth Optimal Portfolio for unobservable Markov-modulated markets.

I. Venkat Appal Raju N. Selvaraju

Published in: Int. J. Math. Oper. Res. (2012)

Keyphrases

markov modulated
optimal portfolio
poisson process
portfolio selection
expected utility
financial markets
electronic commerce
arrival rate
multi objective
arrival process
objective function
state space
steady state