Multi-period mean-variance portfolio selection with regime switching and a stochastic cash flow (Q414601)
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scientific article; zbMATH DE number 6033257
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| English | Multi-period mean-variance portfolio selection with regime switching and a stochastic cash flow |
scientific article; zbMATH DE number 6033257 |
Statements
Multi-period mean-variance portfolio selection with regime switching and a stochastic cash flow (English)
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11 May 2012
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regime switching
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mean-variance portfolio selection
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efficient frontier
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non-self-financing
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stochastic cash flow
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dynamic programming
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0.9003645181655884
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0.8693283796310425
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0.8668725490570068
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0.8350352644920349
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