Multi-period mean-variance portfolio selection with Markov regime switching and uncertain time-horizon
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Publication:545457
DOI10.1007/s11424-011-9184-zzbMath1231.91415OpenAlexW4366453418MaRDI QIDQ545457
Publication date: 22 June 2011
Published in: Journal of Systems Science and Complexity (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11424-011-9184-z
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Cites Work
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- Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model
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- Risk Control Over Bankruptcy in Dynamic Portfolio Selection: A Generalized Mean-Variance Formulation
- Optimal Investment and Consumption Strategies Under Risk, an Uncertain Lifetime, and Insurance
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