A generalized multi-period mean-variance portfolio optimization with Markov switching parameters

DOI10.1016/j.automatica.2008.02.014zbMath1157.91356OpenAlexW2088592705MaRDI QIDQ1004111

Oswaldo L. V. Costa, Michael V. Araujo

Publication date: 2 March 2009

Published in: Automatica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.automatica.2008.02.014

zbMATH Keywords

optimal controlMarkov chainportfolio optimizationstochastic systemsmulti-periodgeneralized mean-variance

Mathematics Subject Classification ID

Discrete-time Markov processes on general state spaces (60J05) Stochastic systems in control theory (general) (93E03) Portfolio theory (91G10)

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