Mean-variance portfolio selection with an uncertain exit-time in a regime-switching market
Year of publication: |
2019
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Authors: | Keykhaei, Reza |
Published in: |
RAIRO / Operations research. - Les Ulis : EDP Sciences, ISSN 0399-0559, ZDB-ID 1481534-5. - Vol. 53.2019, 4, p. 1171-1186
|
Subject: | Multi-period mean-variance portfolio selection | regime-switching | uncertain exit-time | Lagrange duality theorem | dynamic programming | Theorie | Theory | Mathematische Optimierung | Mathematical programming | Portfolio-Management | Portfolio selection | Dynamische Optimierung | Dynamic programming |
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