Quadratic Risk Minimization in a Regime-Switching Model with Portfolio Constraints (Q3143266)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Quadratic Risk Minimization in a Regime-Switching Model with Portfolio Constraints |
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Quadratic Risk Minimization in a Regime-Switching Model with Portfolio Constraints (English)
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29 November 2012
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convex analysis
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duality synthesis
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variational analysis
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convex constraints
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finite-state Markov chain
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regime-switching
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