Quadratic Risk Minimization in a Regime-Switching Model with Portfolio Constraints
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Publication:3143266
DOI10.1137/100809271zbMath1252.93132OpenAlexW2068748263MaRDI QIDQ3143266
Catherine Donnelly, Andrew J. Heunis
Publication date: 29 November 2012
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://semanticscholar.org/paper/de50d22592185e29396f0e5792e45accaf387681
convex analysisvariational analysisconvex constraintsregime-switchingfinite-state Markov chainduality synthesis
Stochastic programming (90C15) Optimal stochastic control (93E20) Duality theory (optimization) (49N15) Portfolio theory (91G10)
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