A generalized multi-period mean-variance portfolio optimization with Markov switching parameters (Q1004111)
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scientific article; zbMATH DE number 5522123
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| English | A generalized multi-period mean-variance portfolio optimization with Markov switching parameters |
scientific article; zbMATH DE number 5522123 |
Statements
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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0.8505784273147583
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0.8396943807601929
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0.8351786732673645
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0.8348457217216492
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0.8217490315437317
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