A generalized multi-period mean-variance portfolio optimization with Markov switching parameters (Q1004111)

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A generalized multi-period mean-variance portfolio optimization with Markov switching parameters
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    A generalized multi-period mean-variance portfolio optimization with Markov switching parameters (English)
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    2 March 2009
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    optimal control
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    Markov chain
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    stochastic systems
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    portfolio optimization
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    multi-period
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    generalized mean-variance
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