Mean-variance portfolio selection with an uncertain exit-time in a regime-switching market
Reza Keykhaei
| Year of publication: |
2019
|
|---|---|
| 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
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| Subject: | Multi-period mean-variance portfolio selection | regime-switching | uncertain exit-time | Lagrange duality theorem | dynamic programming | Portfolio-Management | Portfolio selection | Theorie | Theory | Mathematische Optimierung | Mathematical programming | Dynamische Optimierung | Dynamic programming |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1051/ro/2018050 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012118960