Modelling on optimal portfolio with exchange rate based on discontinuous stochastic process.

Wei Yan Yuwen Chang

Published in: Int. J. Control (2016)

Keyphrases

stochastic process
exchange rate
optimal portfolio
stochastic processes
markov chain
portfolio selection
stochastic model
foreign exchange
stock price
financial markets
currency exchange
long run
dynamic programming
machine learning
diffusion process
random fields
model selection