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Article: Optimal portfolio in a continuous-time self-exciting threshold model

TitleOptimal portfolio in a continuous-time self-exciting threshold model
Authors
Meng, HYuen, FLSiu, T.KYang, H
KeywordsLogarithmic utility
Portfolio selection
Power utility
Regime switching
Self-exciting threshold model
Issue Date2013
Citation
Journal of Industrial and Management Optimization, 2013, v. 9, p. 487-504 How to Cite?
DOI: http://dx.doi.org/10.3934/jimo.2013.9.487
Persistent Identifierhttp://hdl.handle.net/10722/186279
ISSN
1553-166X
2021 Impact Factor: 1.411
2020 SCImago Journal Rankings: 0.325
ISI Accession Number ID
WOS:000315196300013

 

DC FieldValueLanguage
dc.contributor.authorMeng, Hen_US
dc.contributor.authorYuen, FLen_US
dc.contributor.authorSiu, T.Ken_US
dc.contributor.authorYang, Hen_US
dc.date.accessioned2013-08-20T12:02:43Z-
dc.date.available2013-08-20T12:02:43Z-
dc.date.issued2013en_US
dc.identifier.citationJournal of Industrial and Management Optimization, 2013, v. 9, p. 487-504en_US
dc.identifier.issn1553-166X-
dc.identifier.urihttp://hdl.handle.net/10722/186279-
dc.languageengen_US
dc.relation.ispartofJournal of Industrial and Management Optimizationen_US
dc.rightsThis work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.-
dc.subjectLogarithmic utility-
dc.subjectPortfolio selection-
dc.subjectPower utility-
dc.subjectRegime switching-
dc.subjectSelf-exciting threshold model-
dc.titleOptimal portfolio in a continuous-time self-exciting threshold modelen_US
dc.typeArticleen_US
dc.identifier.emailYang, H: hlyang@hku.hken_US
dc.identifier.authorityYang, H=rp00826en_US
dc.description.naturepublished_or_final_version-
dc.identifier.doi10.3934/jimo.2013.9.487-
dc.identifier.scopuseid_2-s2.0-84875277233-
dc.identifier.hkuros217294en_US
dc.identifier.volume9en_US
dc.identifier.spage487en_US
dc.identifier.epage504en_US
dc.identifier.isiWOS:000315196300013-
dc.identifier.issnl1547-5816-

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