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math.OC2025
Performance and Risk Analytics of Asian Exchange-Traded Funds
Bhathiya Divelgama, Nancy Asare Nyarko, Naa Sackley Dromo Aryee +2
Investing in Asian markets through exchange-traded funds (ETFs) provides investors with access to rapidly expanding economies and valuable diversification opportunities. This study…
math.OC2025
Turnpike Property of Mean-Field Linear-Quadratic Optimal Control Problems in Infinite-Horizon with Regime Switching
Hongwei Mei, Svetlozar Rachev, Rui Wang
This paper considers an optimal control problem for a linear mean-field stochastic differential equation having regime switching with quadratic functional in the large time horizon…