Portfolio selection in a regime switching market with a bankruptcy state and an uncertain exit-time : multi-period mean-variance formulation
Year of publication: |
2020
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Authors: | Keykhaei, Reza |
Published in: |
Operational research : an international journal. - Berlin : Springer, ISSN 1866-1505, ZDB-ID 2425760-6. - Vol. 20.2020, 3, p. 1231-1254
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Subject: | Mean-variance portfolio selection | Regime switching | Bankruptcy state | Uncertain exit-time | Dynamic programming | Portfolio-Management | Portfolio selection | Insolvenz | Insolvency | Theorie | Theory | Dynamische Optimierung | Mathematische Optimierung | Mathematical programming | Markov-Kette | Markov chain |
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