Pages that link to "Item:Q1004111"

The following pages link to A generalized multi-period mean-variance portfolio optimization with Markov switching parameters (Q1004111):

Displaying 50 items.

• Quadratic control with partial information for discrete-time jump systems with the Markov chain in a general Borel space (Q254541) (← links)
• Exact and approximate hidden Markov chain filters based on discrete observations (Q293595) (← links)
• Pre-commitment vs. time-consistent strategies for the generalized multi-period portfolio optimization with stochastic cash flows (Q320296) (← links)
• Bankruptcy prevention in multiperiod Markowitz optimization problem (Q344024) (← links)
• Multi-period mean-variance portfolio selection with regime switching and a stochastic cash flow (Q414601) (← links)
• A risk index model for multi-period uncertain portfolio selection (Q456449) (← links)
• Time cardinality constrained mean-variance dynamic portfolio selection and market timing: a stochastic control approach (Q490798) (← links)
• Model predictive control for constrained systems with serially correlated stochastic parameters and portfolio optimization (Q490850) (← links)
• Equilibrium investment strategy for defined-contribution pension schemes with generalized mean-variance criterion and mortality risk (Q495509) (← links)
• Multi-period mean-variance portfolio selection with Markov regime switching and uncertain time-horizon (Q545457) (← links)
• Multiperiod mean-variance portfolio optimization via market cloning (Q647502) (← links)
• Continuous-time mean-variance asset-liability management with stochastic interest rates and inflation risks (Q781093) (← links)
• Multiperiod portfolio optimization models in stochastic markets using the mean--variance approach (Q858428) (← links)
• Multi-period optimization portfolio with bankruptcy control in stochastic market (Q876610) (← links)
• Spectral tests for observability and detectability of periodic Markov jump systems with nonhomogeneous Markov chain (Q901195) (← links)
• Filtering \(\mathcal{S}\)-coupled algebraic Riccati equations for discrete-time Markov jump systems (Q1679073) (← links)
• Analysis and synthesis for a class of stochastic switching systems against delayed mode switching: a framework of integrating mode weights (Q1716640) (← links)
• Multiperiod Telser's safety-first portfolio selection with regime switching (Q1726995) (← links)
• Portfolio selection problems with Markowitz's mean-variance framework: a review of literature (Q1795052) (← links)
• HARA frontiers of optimal portfolios in stochastic markets (Q1926829) (← links)
• Fuzzy multi-period portfolio selection optimization models using multiple criteria (Q1932695) (← links)
• Optimal mean-variance control for discrete-time linear systems with Markovian jumps and multiplicative noises (Q1941253) (← links)
• Arbitrage-free conditions and hedging strategies for markets with penalty costs on short positions (Q1955374) (← links)
• Time-consistent investment policies in Markovian markets: a case of mean-variance analysis (Q1994404) (← links)
• Predictive control of investment portfolio on the financial market with hidden regime switching and MS VAR model of returns (Q2034839) (← links)
• Optimal portfolio execution problem with stochastic price impact (Q2288736) (← links)
• Equilibrium investment strategy for a defined contribution pension plan under stochastic interest rate and stochastic volatility (Q2292015) (← links)
• Multi-period portfolio selection problem under uncertain environment with bankruptcy constraint (Q2295230) (← links)
• A new fuzzy programming approach for multi-period portfolio optimization with return demand and risk control (Q2351435) (← links)
• Multi-period defined contribution pension funds investment management with regime-switching and mortality risk (Q2374101) (← links)
• Multiperiod mean-standard-deviation time consistent portfolio selection (Q2409276) (← links)
• Portfolio selection with hyperexponential utility functions (Q2454355) (← links)
• Credibilitic mean-variance model for multi-period portfolio selection problem with risk control (Q2454358) (← links)
• A multi-period fuzzy portfolio optimization model with minimum transaction lots (Q2630242) (← links)
• Designing asynchronous filter with uncertain conditional probabilities for periodic discrete-time Markov jump systems (Q2698410) (← links)
• Global solutions of a class of discrete-time backward nonlinear equations on ordered Banach spaces with applications to Riccati equations of stochastic control (Q2857156) (← links)
• Portfolio selection with imperfect information: a hidden Markov model (Q2863717) (← links)
• PORTFOLIO OPTIMIZATION IN AFFINE MODELS WITH MARKOV SWITCHING (Q2947343) (← links)
• Dynamic asset–liability management in a Markov market with stochastic cash flows (Q4554228) (← links)
• Dynamic portfolio optimization across hidden market regimes (Q4554411) (← links)
• Dynamic portfolio optimization across hidden market regimes (Q4957232) (← links)
• Model predictive control design for constrained Markov jump bilinear stochastic systems with an application in finance (Q5026618) (← links)
• Optimal control with constrained total variance for Markov jump linear systems with multiplicative noises (Q5027521) (← links)
• Discrete-time mean variance optimal control of linear systems with Markovian jumps and multiplicative noise (Q5323281) (← links)
• Multi‐period mean‐variance portfolio selection in a regime‐switching market with a bankruptcy state (Q5417267) (← links)
• Adaptive event‐triggered dissipative filter design for semi‐Markov jump systems under hybrid network attacks (Q6069320) (← links)
• Equilibrium strategy for a multi-period weighted mean-variance portfolio selection in a Markov regime-switching market with uncertain time-horizon and a stochastic cash flow (Q6161000) (← links)
• Dynamic trading with Markov liquidity switching (Q6165331) (← links)
• Equilibrium multi-agent model with heterogeneous views on fundamental risks (Q6192948) (← links)
• Event-triggered dissipative filter design for semi-Markovian jump systems with time-varying delays (Q6534578) (← links)