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Portfolio optimization with unobservable Markov-modulated drift process

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2011PORTFOLIO OPTIMIZATION UNDER PARTIAL INFORMATION WITH EXPERT OPINIONS53 cited
2008Optimal investment and consumption in a Black–Scholes market with Lévy-driven stochastic coefficients52 cited

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2015

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2013Optimal Portfolios for Financial Markets with Wishart Volatility34 cited

2015Filtering and portfolio optimization with stochastic unobserved drift in asset returns34 cited

2010Portfolio Selection in the Enlarged Markovian Regime-Switching Market33 cited

2012Asset allocation under stochastic interest rate with regime switching31 cited

2016PAIRS TRADING OF TWO ASSETS WITH UNCERTAINTY IN CO-INTEGRATION'S LEVEL OF MEAN REVERSION29 cited