Optimal policy for a time consistent mean-variance model with regime switching
Year of publication: |
April 2016
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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 |
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