Mean-variance portfolio selection with regime switching under shorting prohibition
Miao Zhang, Ping Chen
| Year of publication: |
September 2016
|
|---|---|
| Authors: | Zhang, Miao ; Chen, Ping |
| Published in: |
Operations research letters. - Amsterdam [u.a.] : Elsevier, ISSN 0167-6377, ZDB-ID 720735-9. - Vol. 44.2016, 5, p. 658-662
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| Subject: | Portfolio selection | Regime switching | Shorting prohibition | Mean-variance | Portfolio-Management | Theorie | Theory | 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.orl.2016.07.008 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011596620