A decomposition method for optimal portfolios with regime-switching and risk constraint (Q4921211)
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scientific article; zbMATH DE number 6165392
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A decomposition method for optimal portfolios with regime-switching and risk constraint |
scientific article; zbMATH DE number 6165392 |
Statements
A decomposition method for optimal portfolios with regime-switching and risk constraint (English)
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23 May 2013
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optimal portfolio selection
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dynamic risk constraint
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regime switching
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martingale transform
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power utility
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piecewise constant approximation
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