Mean-variance portfolio selection with an uncertain exit-time in a regime-switching market (Q5244295)
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scientific article; zbMATH DE number 7134277
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Mean-variance portfolio selection with an uncertain exit-time in a regime-switching market |
scientific article; zbMATH DE number 7134277 |
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Mean-variance portfolio selection with an uncertain exit-time in a regime-switching market (English)
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20 November 2019
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multi-period mean-variance portfolio selection
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regime-switching
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uncertain exit-time
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Lagrange duality theorem
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dynamic programming
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