Multi-period Markowitz's mean-variance portfolio selection with state-dependent exit probability
Huiling Wu; Yan Zeng; Haixiang Yao
| Year of publication: |
2014
|
|---|---|
| Authors: | Wu, Huiling ; Zeng, Yan ; Yao, Haixiang |
| Published in: |
Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 36.2014, p. 69-78
|
| Subject: | Multi-period mean-variance model | Regime switching | Uncertain time-horizon | Portfolio selection | Dynamic programming | Portfolio-Management | Theorie | Theory | Dynamische Optimierung | Mathematische Optimierung | Mathematical programming | Risikomaß | Risk measure |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010412027