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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
Issue Date2013
Citation
Journal of Industrial and Management Optimization, 2013, v. 9, p. 487-504 How to Cite?
Persistent Identifierhttp://hdl.handle.net/10722/186279
ISI Accession Number ID

 

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.urihttp://hdl.handle.net/10722/186279-
dc.languageengen_US
dc.relation.ispartofJournal of Industrial and Management Optimizationen_US
dc.rightsCreative Commons: Attribution 3.0 Hong Kong License-
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.hkuros217294en_US
dc.identifier.volume9en_US
dc.identifier.spage487en_US
dc.identifier.epage504en_US
dc.identifier.isiWOS:000315196300013-

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