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

DOI10.1016/J.AUTOMATICA.2013.08.023zbMATH Open1358.93166OpenAlexW1993189830MaRDI QIDQ2350786FDOQ2350786

Authors: Haixiang Yao, Yongzeng Lai, Zhifeng Hao 

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

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zbMATH Keywords

efficient frontiermean-variance portfolio selectionMarkov jumpsuncertain exit timeendogenous liabilities

Mathematics Subject Classification ID

Portfolio theory (91G10) Dynamic programming in optimal control and differential games (49L20) Stochastic systems in control theory (general) (93E03)

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