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    Portfolio Optimization Using Regime-Switching Stochastic Interest Rate and Stochastic Volatility Models

    This paper considers the continuous-time portfolio optimization problem with both stochastic interest rate and stochastic volatility in regime-switching models, where a regime-switching Vasicek model is assume...

    R. H. Liu, D. Ren in Modeling, Stochastic Control, Optimization, and Applications (2019)