Portfolio selection in a regime switching market with a bankruptcy state and an uncertain exit-time : multi-period mean-variance formulation
Reza Keykhaei
| Year of publication: |
2020
|
|---|---|
| Authors: | Keykhaei, Reza |
| Subject: | Mean-variance portfolio selection | Regime switching | Bankruptcy state | Uncertain exit-time | Dynamic programming | Portfolio-Management | Portfolio selection | Insolvenz | Insolvency | Theorie | Theory | Dynamische Optimierung | Risiko | Risk |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s12351-018-0372-7 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012291150