Constrained portfolio strategies in a regime-switching economy
Year of publication: |
2023
|
---|---|
Authors: | Lewin, Marcelo ; Campani, Carlos Heitor |
Published in: |
Financial markets and portfolio management. - Norwell, Mass. : Springer, ISSN 2373-8529, ZDB-ID 2097963-0. - Vol. 37.2023, 1, p. 27-59
|
Subject: | Analytical solutions | Dynamic asset allocation | Leverage and turnover constraints | Regime switching models | Stochastic differential recursive utility | Transaction costs | Theorie | Theory | Portfolio-Management | Portfolio selection | Transaktionskosten | Stochastischer Prozess | Stochastic process | Markov-Kette | Markov chain |
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