We consider a portfolio optimization problem in a defaultable market with finitely‐many
economical regimes, where the investor can dynamically allocate her wealth among a …

A fuzzy portfolio selection model is considered with a view to incorporating ambiguity about
model and data structure. The model features the uncertainty about the exit time of each …

Research and development (R&D) project selection is essential for many organizations;
however, it is a complex decision since it is affected by many factors. These factors vary …

Standard mean-variance analysis is based on the assumption of normal return distributions.
However, a growing body of literature suggests that the market oscillates between two …

We investigate an optimal asset allocation problem in a Markovian regime-switching
financial market with stochastic interest rate. The market has three investment opportunities …

This paper investigates the stochastic linear quadratic (LQ, for short) optimal control problem
of Markovian regime switching system. The representation of the cost functional for the …

In this paper, we investigate open-loop and weak closed-loop solvabilities of stochastic
linear quadratic (LQ, for short) optimal control problem of Markovian regime switching …

This paper considers a non-self-financing mean-variance portfolio selection problem in
which the stock price and the stochastic cash flow follow a Markov-modulated Lévy process …

This paper first develops a discrete‐time multi‐period mean‐variance portfolio selection
model under the assumption that return of a risky asset depends on the states of a stochastic …

We study a portfolio selection problem in a continuous-time Itô–Markov additive market with
prices of financial assets described by Markov additive processes that combine Lévy …