The regime switching portfolios (Q538326)

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The regime switching portfolios
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    title
    The regime switching portfolios (English)
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    author
    Hiroshi Ishijima
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    Masaki Uchida
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    publication date
    25 May 2011
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    Mathematics Subject Classification ID
    91G10
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    91G70
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    62M02
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    62H30
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    zbMATH DE Number
    5899522
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    zbMATH Keywords
    Markov switching model
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    continuous-time regime switching
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    discrete-time regime switching
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    log mean-variance
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    portfolio selection
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    EM algorithm
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    OpenAlex ID
    W2146942844
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