Optimal policy for a time consistent mean-variance model with regime switching
Gang Li, Zhi Ping Chen and Jia Liu (Department of Computing Science, School of Mathematics and Statistics, Xi'an Jiaotong University, Xi'an, Shaanxi, P.R. China)
| Year of publication: |
April 2016
|
|---|---|
| Authors: | Li, Gang ; Chen, Zhiping ; Liu, Jia |
| Published in: |
IMA journal of management mathematics. - Oxford : Oxford Univ. Press, ISSN 1471-678X, ZDB-ID 2074812-7. - Vol. 27.2016, 2, p. 211-234
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| Subject: | multiperiod portfolio selection | regime switching | time consistent | mean-variance | optimal investment policy | dynamic programming | Portfolio-Management | Portfolio selection | Theorie | Theory | Dynamische Optimierung | Dynamic programming | Zeitkonsistenz | Time consistency | Markov-Kette | Markov chain | Mathematische Optimierung | Mathematical programming |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1093/imaman/dpu018 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011567026