Multi-period mean-variance portfolio selection with Markov regime switching and uncertain time-horizon
From MaRDI portal
Publication:545457
DOI10.1007/s11424-011-9184-zzbMath1231.91415MaRDI QIDQ545457
Publication date: 22 June 2011
Published in: Journal of Systems Science and Complexity (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11424-011-9184-z
dynamic programming; portfolio selection; mean-variance; Markov regime switching; uncertain time-horizon
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