Multi‐period mean‐variance portfolio selection in a regime‐switching market with a bankruptcy state
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Publication:5417267
DOI10.1002/oca.2027zbMath1286.91128OpenAlexW1548169136MaRDI QIDQ5417267
Publication date: 16 May 2014
Published in: Optimal Control Applications and Methods (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1002/oca.2027
regime switchingefficient frontieroptimal portfolio selectionbankruptcy statemulti-period mean variance
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Cites Work
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