Mean-variance portfolio selection with an uncertain exit-time in a regime-switching market
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Publication:5244295
DOI10.1051/ro/2018050zbMath1461.90163OpenAlexW2809763091MaRDI QIDQ5244295
Publication date: 20 November 2019
Published in: RAIRO - Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1051/ro/2018050
dynamic programmingregime-switchingmulti-period mean-variance portfolio selectionLagrange duality theoremuncertain exit-time
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