Finite Horizon Trading Strategy with Transaction Costs and Exponential Utility in a Regime Switching Market

Finite Horizon Trading Strategy with Transaction Costs and Exponential Utility in a Regime Switching Market

Master's

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Bibliographic Details
Main Author: XU SHANGHUA
Other Authors: MATHEMATICS
Format: Theses and Dissertations
Language:English
Published: 2011
Subjects:
Exponential Utility, Regime Switching, Penalty Method, Projected SOR Method, Investment, Risk
Online Access:http://scholarbank.nus.edu.sg/handle/10635/20994
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Institution: National University of Singapore
Language: English

Internet

http://scholarbank.nus.edu.sg/handle/10635/20994

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