Optimal liquidation in a finite time regime switching model with permanent and temporary pricing impact

Discrete and Continuous Dynamical Systems - Series B ◽

10.3934/dcdsb.2016002 ◽

2016 ◽

Vol 21 (5) ◽

pp. 1401-1420 ◽

Author(s):

Baojun Bian ◽

Nan Wu ◽

Harry Zheng

Keyword(s):

Finite Time ◽

Regime Switching ◽

Regime Switching Model ◽

Switching Model ◽

Optimal Liquidation ◽

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Optimal stock liquidation in a regime switching model with finite time horizon

Journal of Mathematical Analysis and Applications ◽

10.1016/j.jmaa.2005.08.034 ◽

2006 ◽

Vol 321 (2) ◽

pp. 537-552 ◽

Author(s):

M. Pemy ◽

Q. Zhang

Keyword(s):

Finite Time ◽

Regime Switching ◽

Time Horizon ◽

Regime Switching Model ◽

Switching Model ◽

Finite Time Horizon

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Optimal asset allocation problems under the discrete-time regime-switching model

10.5353/th_b3131123 ◽

2005 ◽

Author(s):

Ka-chun Cheung

Keyword(s):

Discrete Time ◽

Asset Allocation ◽

Regime Switching ◽

Regime Switching Model ◽

Switching Model ◽

Allocation Problems ◽

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Research of market interest rates of the SHIBOR based on regime switching model

JOURNAL OF SHENZHEN UNIVERSITY SCIENCE AND ENGINEERING ◽

10.3724/sp.j.1249.2015.03317 ◽

2015 ◽

Vol 32 (3) ◽

pp. 317 ◽

Author(s):

Xiangdong Liu ◽

Hui Guo

Keyword(s):

Interest Rates ◽

Regime Switching ◽

Regime Switching Model ◽

Switching Model

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Properties of American options under a Markovian Regime Switching Model

Communications in Statistics Case Studies Data Analysis and Applications ◽

10.1080/23737484.2021.1958272 ◽

2021 ◽

pp. 1-17

Author(s):

Marko Dimitrov ◽

Lu Jin ◽

Ying Ni

Keyword(s):

Regime Switching ◽

American Options ◽

Regime Switching Model ◽

Switching Model ◽

Markovian Regime Switching ◽

Markovian Regime

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Nonlinear investigations of China's agricultural transformation based on the structural break regime switching model

China Agricultural Economic Review ◽

10.1108/17561371211196775 ◽

2012 ◽

Vol 4 (1) ◽

pp. 52-68 ◽

Author(s):

Jie Lu ◽

Angang Hu ◽

Yilong Yan

Keyword(s):

Regime Switching ◽

Structural Break ◽

Regime Switching Model ◽

Switching Model ◽

Agricultural Transformation

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Optimal investment–consumption strategy with liability and regime switching model under Value-at-Risk constraint

Applied Mathematics and Computation ◽

10.1016/j.amc.2017.04.034 ◽

2017 ◽

Vol 313 ◽

pp. 103-118 ◽

Author(s):

Fengxia Hu ◽

Rongming Wang

Keyword(s):

At Risk ◽

Regime Switching ◽

Value At Risk ◽

Optimal Investment ◽

Regime Switching Model ◽

Switching Model ◽

Risk Constraint

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Positivity Preserving Numerical Method for Optimal Portfolio in a Power Utility Two-Dimensional Regime-Switching Model

Numerical Methods and Applications - Lecture Notes in Computer Science ◽

10.1007/978-3-030-10692-8_48 ◽

2019 ◽

pp. 424-432 ◽

Author(s):

Miglena N. Koleva ◽

Lubin G. Vulkov

Keyword(s):

Numerical Method ◽

Regime Switching ◽

Optimal Portfolio ◽

Two Dimensional ◽

Positivity Preserving ◽

Power Utility ◽

Regime Switching Model ◽

Switching Model

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A Markov regime-switching model for the semiconductor industry cycles

Economic Modelling ◽

10.1016/j.econmod.2006.02.007 ◽

2006 ◽

Vol 23 (4) ◽

pp. 569-578 ◽

Author(s):

Wen-Hsien Liu ◽

Yih-Luan Chyi

Keyword(s):

Regime Switching ◽

Semiconductor Industry ◽

Markov Regime Switching ◽

Regime Switching Model ◽

Switching Model ◽

Markov Regime Switching Model

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Pricing Chinese warrants using artificial neural networks coupled with Markov regime switching model

International Journal of Financial Markets and Derivatives ◽

10.1504/ijfmd.2011.045600 ◽

2011 ◽

Vol 2 (4) ◽

pp. 314

Author(s):

David Liu ◽

Lei Zhang

Keyword(s):

Neural Networks ◽

Artificial Neural Networks ◽

Regime Switching ◽

Markov Regime Switching ◽

Regime Switching Model ◽

Switching Model ◽

Artificial Neural ◽

Markov Regime Switching Model

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Portfolios Optimization Under Regime Switching Model: Evidences in the American Bonds and Other Financial Assets

Studies in Computational Intelligence - Behavioral Predictive Modeling in Economics ◽

10.1007/978-3-030-49728-6_25 ◽

2020 ◽

pp. 377-392

Author(s):

Bing Yang ◽

Payap Tarkhamtham ◽

Pongsutti Phuensan ◽

Kongliang Zhu

Keyword(s):

Regime Switching ◽

Financial Assets ◽

Regime Switching Model ◽

Switching Model

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