Mean-variance portfolio selection with a stochastic cash flow in a Markov-switching jump-diffusion market
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Publication:378275
DOI10.1007/s10957-013-0292-xzbMath1280.91160OpenAlexW2051689841MaRDI QIDQ378275
Publication date: 11 November 2013
Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10957-013-0292-x
geometric Lévy processlinear quadratic techniqueMarkov regime switchingmean-variance portfolio selectionstochastic cash flow
Linear-quadratic optimal control problems (49N10) Financial applications of other theories (91G80) Portfolio theory (91G10)
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