An anticipative Markov modulated market Working Papers uri icon

authors

  • D AURIA, BERNARDO
  • SALMERON GARRIDO, JOSE ANTONIO

publication date

  • 2022

series title

  • Working paper Statistics and Econometrics

series number

  • 22-01

subjects

  • Statistics

keywords

  • optimal portfolio; markov modulated; regime-switching; jacod’s hypothesis; anticipative information; value of the information