Multi-period mean-variance portfolio selection with Markov regime switching and uncertain time-horizon (Q545457)
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scientific article; zbMATH DE number 5911416
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| English | Multi-period mean-variance portfolio selection with Markov regime switching and uncertain time-horizon |
scientific article; zbMATH DE number 5911416 |
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Multi-period mean-variance portfolio selection with Markov regime switching and uncertain time-horizon (English)
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22 June 2011
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dynamic programming
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Markov regime switching
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mean-variance
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portfolio selection
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uncertain time-horizon
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0.944100260734558
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0.8910061717033386
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0.8801014423370361
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0.8735447525978088
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