Markowitz problem for a case of random environment existence

DOI10.1007/978-3-319-76035-3_14zbMath1397.62284OpenAlexW2804998503MaRDI QIDQ1793917

Tatjana Jurkina, Alexander M. Andronov

Publication date: 12 October 2018

Full work available at URL: https://doi.org/10.1007/978-3-319-76035-3_14

zbMATH Keywords

Markov chaincontinuous timeMarkowitz problem

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Markov processes: hypothesis testing (62M02) Portfolio theory (91G10)

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