{"id":"W1987175004","doi":"10.1007/s11009-008-9085-3","title":"Robust Optimal Portfolio Choice Under Markovian Regime-switching Model","year":2008,"lang":"en","type":"article","venue":"Methodology And Computing In Applied Probability","topic":"Stochastic processes and financial applications","field":"Economics, Econometrics and Finance","cited_by":34,"is_retracted":false,"has_abstract":false,"ca_institutions":"University of Calgary","funders":"Social Sciences and Humanities Research Council of Canada","keywords":"Portfolio; Mathematical optimization; Markov chain; Mathematics; Differential game; Markov process; Portfolio optimization; Mathematical economics; Bellman equation; Financial market; Economics; Finance","routes":{"ca_aff":true,"ca_fund":true,"ca_venue":false,"about_ca":false,"invisible_to_affiliation_only":false},"retraction":null,"screen":null,"direct_labels":[],"prediction":{"model_version":"codex-gemma-dda1882f352a","candidate_categories":[],"consensus_categories":[],"category_scores_codex":[0.002165647,0.0001939657,0.0005425069,0.0001315834,0.0003183053,0.0000172687,0.0002319109,0.0002196017,0.00001854557],"category_scores_gemma":[0.0003088638,0.0002275061,0.00004954899,0.0003336192,0.0001928741,0.00005147184,0.0001764186,0.0004011951,0.00001511274],"about_ca_system_candidate":false,"about_ca_system_consensus":false,"about_ca_system_score_codex":0.00007017344,"about_ca_system_score_gemma":0.00004972357,"about_ca_topic_candidate":false,"about_ca_topic_consensus":false,"about_ca_topic_score_codex":0.0002138967,"about_ca_topic_score_gemma":0.0000294275,"domain_scores_codex":[0.9980765,0.00003239698,0.0007004245,0.0007716035,0.00003334282,0.0003857187],"domain_scores_gemma":[0.9986918,0.0005569252,0.000293572,0.0003552835,0.00002420934,0.00007819138],"domain_codex":null,"domain_gemma":null,"domain_candidate":null,"domain_consensus":null,"study_design_codex":"theoretical_or_conceptual","study_design_gemma":"theoretical_or_conceptual","study_design_scores_codex":[0.00004039046,0.0001077354,0.01157009,0.0000422167,0.00001309623,0.000001193949,0.0004787445,0.05993819,0.00002589225,0.9238048,0.00002326904,0.003954423],"study_design_scores_gemma":[0.0004514911,0.00002468622,0.05466509,0.000008284196,0.000005014969,0.0000216625,0.00003326025,0.1547787,0.00001458207,0.7894469,0.0002784168,0.0002718518],"study_design_candidate":"theoretical_or_conceptual","study_design_consensus":"theoretical_or_conceptual","genre_codex":"methods","genre_gemma":"empirical","genre_scores_codex":[0.2356634,0.000314715,0.7572137,0.0002182042,0.00007978335,0.0002812096,0.000006968007,0.0000526542,0.006169375],"genre_scores_gemma":[0.6232772,0.00001892095,0.3762719,0.0002658932,0.00007076386,0.00004340857,0.000004351285,0.00001288405,0.00003462601],"genre_candidate":"methods","genre_consensus":null,"teacher_disagreement_score":0.3876138,"threshold_uncertainty_score":0.927743,"prediction_status":"machine_predicted_unvalidated"},"machine_scores":{"provisional":true,"baseline":true,"maturity_gate_passed":false,"score_opus":0.1995989337668433,"score_gpt":0.2854887718370839,"score_spread":0.08588983807024059,"validation_status":"score_only:v0-immature-baseline","note":"Baseline scores from an immature model (maturity gate not passed). Scores rank; they never assert a category."}}