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Article: Portfolio optimization in a regime-switching market with derivatives
Title | Portfolio optimization in a regime-switching market with derivatives |
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Authors | |
Keywords | Dynamic programming principle Elasticity approach Functional operator Portfolio optimization Regime switching |
Issue Date | 2014 |
Publisher | Elsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/ejor |
Citation | European Journal of Operational Research, 2014, v. 233 n. 1, p. 184-192 How to Cite? |
Persistent Identifier | http://hdl.handle.net/10722/198103 |
ISI Accession Number ID |
DC Field | Value | Language |
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dc.contributor.author | Fu, J | en_US |
dc.contributor.author | Wei, J | en_US |
dc.contributor.author | Yang, H | en_US |
dc.date.accessioned | 2014-06-25T02:47:09Z | - |
dc.date.available | 2014-06-25T02:47:09Z | - |
dc.date.issued | 2014 | en_US |
dc.identifier.citation | European Journal of Operational Research, 2014, v. 233 n. 1, p. 184-192 | en_US |
dc.identifier.uri | http://hdl.handle.net/10722/198103 | - |
dc.language | eng | en_US |
dc.publisher | Elsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/ejor | - |
dc.relation.ispartof | European Journal of Operational Research | en_US |
dc.rights | NOTICE: this is the author’s version of a work that was accepted for publication in European Journal of Operational Research. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in European Journal of Operational Research, 2014, v. 233 n. 1, p. 184-192. DOI: 10.1016/j.ejor.2013.08.033 | - |
dc.rights | This work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License. | - |
dc.subject | Dynamic programming principle | - |
dc.subject | Elasticity approach | - |
dc.subject | Functional operator | - |
dc.subject | Portfolio optimization | - |
dc.subject | Regime switching | - |
dc.title | Portfolio optimization in a regime-switching market with derivatives | en_US |
dc.type | Article | en_US |
dc.identifier.email | Yang, H: hlyang@hkusua.hku.hk | en_US |
dc.identifier.authority | Yang, H=rp00826 | en_US |
dc.description.nature | postprint | - |
dc.identifier.doi | 10.1016/j.ejor.2013.08.033 | en_US |
dc.identifier.scopus | eid_2-s2.0-84885623987 | - |
dc.identifier.hkuros | 229404 | en_US |
dc.identifier.volume | 233 | en_US |
dc.identifier.spage | 184 | en_US |
dc.identifier.epage | 192 | en_US |
dc.identifier.isi | WOS:000326359600017 | - |