Mean-variance portfolio selection with only risky assets under regime switching
Miao Zhang, Ping Chen, Haixiang Yao
| Year of publication: |
April 2017
|
|---|---|
| Authors: | Zhang, Miao ; Chen, Ping ; Yao, Haixiang |
| Published in: |
Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 62.2017, p. 35-42
|
| Subject: | Portfolio selection | Multiple risky assets | Regime switching | No risk-free asset | Mean-variance | Portfolio-Management | Theorie | Theory | Anlageverhalten | Behavioural finance | CAPM | Risiko | Risk | Kapitalanlage | Financial investment | Risikomaß | Risk measure | Markov-Kette | Markov chain |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.econmod.2016.12.030 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011813158