Multi-period mean-variance portfolio selection in a regime-switching market with a bankruptcy state and a state-dependent uncertain exit-time
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Publication:2664614
DOI10.1504/IJMOR.2021.113591zbMATH Open1482.91196MaRDI QIDQ2664614
Publication date: 17 November 2021
Published in: International Journal of Mathematics in Operational Research (Search for Journal in Brave)
dynamic programmingregime switchingmean-variance portfolio selectionbankruptcy statestate-dependent uncertain exit-time
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