Multi-period mean-variance portfolio selection with state-dependent exit probability and bankruptcy state
Yang Wang, Yonghong Wu, Xinguang Zhang
| Year of publication: |
2019
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|---|---|
| Authors: | Wang, Yang ; Wu, Yonghong ; Zhang, Xinguang |
| Published in: |
Journal of mathematical finance. - [S.l.] : Scientific Research, ISSN 2162-2434, ZDB-ID 2657377-5. - Vol. 9.2019, 2, p. 152-174
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| Subject: | Portfolio Selection | Bankruptcy State | State-Dependent Exit Probability | Dynamic Programming | Regime-Switching | Insolvenz | Insolvency | Portfolio-Management | Portfolio selection | Theorie | Theory | Dynamische Optimierung | Dynamic programming |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.4236/jmf.2019.92008 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012233377