Mean-Variance portfolio optimization when each asset has individual uncertain exit-time

DOI10.18187/PJSOR.V12I4.1251MaRDI QIDQ5888656zbMATH OpenOpenAlexFDO

Authors Reza Keykhaei

Publication date 25 April 2023

Published in Pakistan Journal of Statistics and Operation Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.18187/pjsor.v12i4.1251

Mathematics Subject Classification ID

Portfolio theory (91G10)

Cited in

(2)

• Modeling and solving portfolio selection problems based on PVaR
• Mean-variance portfolio selection with an uncertain exit-time in a regime-switching market

This page was built for publication: Mean-Variance portfolio optimization when each asset has individual uncertain exit-time

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5888656)