"Portfolio optimization with Markov-modulated stock prices and interest rates."

Nicole Bäuerle, Ulrich Rieder (2004)

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DOI: 10.1109/TAC.2004.824471

access: closed

type: Journal Article

metadata version: 2020-05-20

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Nicole Bäuerle, Ulrich Rieder:
Portfolio optimization with Markov-modulated stock prices and interest rates. IEEE Trans. Autom. Control. 49(3): 442-447 (2004)

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