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20162019
most citedRisk Sensitive Portfolio Optimization in a Jump Diffusion Model with Regimes

16 citations · 24 across the 4 of their papers we have counts for

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q-fin.CP2018

Testing of Binary Regime Switching Models using Squeeze Duration Analysis

Milan Kumar Das, Anindya Goswami

We have developed a statistical technique to test the model assumption of binary regime switching extension of the geometric Brownian motion (GBM) model by proposing a new discrimi…