Simulating Portfolio Decisions under Uncertainty When the Risky Asset and Short Rate Are Modulated by an Inhomogeneous and Asset-Dependent Markov Chain

Article

Abstract: This paper aims to simulate portfolio decisions under uncertainty when the diffusion parameters of t

Palabras claves:

diffusion process, Markov regime switching, portfolio simulation, short rate

Autores:

José Álvarez-García, la Torre-Torres O.D., Vallejo-Jiménez B., Venegas-Martínez F.

Fuentes:

scopus