Uncertain exit time multi-period mean-variance portfolio selection with endogenous liabilities and Markov jumps

DOI10.1016/j.automatica.2013.08.023zbMath1358.93166OpenAlexW1993189830MaRDI QIDQ2350786

Zhifeng Hao, Yongzeng Lai, Haixiang Yao

Publication date: 25 June 2015

Published in: Automatica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.automatica.2013.08.023

zbMATH Keywords

efficient frontiermean-variance portfolio selectionMarkov jumpsuncertain exit timeendogenous liabilities

Mathematics Subject Classification ID

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