Log Mean-Variance Portfolio Selection Under Regime Switching
| Year of publication: |
2011
|
|---|---|
| Authors: | Ishijima, Hiroshi ; Uchida, Masaki |
| Published in: |
Asia-Pacific Financial Markets. - Springer, ISSN 1387-2834. - Vol. 18.2011, 2, p. 213-229
|
| Publisher: |
Springer |
| Subject: | Regime switching model | Dynamic portfolio selection | Discrete-time | Log mean-variance criteria | Quadratic programming | EM algorithm |
| Extent: | text/html |
|---|---|
| Type of publication: | Article |
| Source: |
Persistent link: https://www.econbiz.de/10009150531