Constrained portfolio strategies in a regime-switching economy

Marcelo Lewin, Carlos Heitor Campani

Year of publication:	2023
Authors:	Lewin, Marcelo ; Campani, Carlos Heitor
Subject:	Analytical solutions \| Dynamic asset allocation \| Leverage and turnover constraints \| Regime switching models \| Stochastic differential recursive utility \| Transaction costs \| Portfolio-Management \| Portfolio selection \| Theorie \| Theory \| Transaktionskosten \| Stochastischer Prozess \| Stochastic process \| Markov-Kette \| Markov chain

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