Log mean-variance portfolio selection under regime switching (Q538328)
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scientific article; zbMATH DE number 5899524
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| English | Log mean-variance portfolio selection under regime switching |
scientific article; zbMATH DE number 5899524 |
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Log mean-variance portfolio selection under regime switching (English)
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25 May 2011
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regime switching model
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dynamic portfolio selection
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discrete-time
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log mean-variance criteria
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quadratic programming
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EM algorithm
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0.8732513189315796
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0.8466591238975525
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0.8232683539390564
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0.8227105140686035
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0.7995947003364563
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