Mean-variance portfolio selection with regime switching under shorting prohibition
type: Item
instance of: scholarly article
title: Mean-variance portfolio selection with regime switching under shorting prohibition
zbMATH Open document ID: 1408.91206
author: Miao Zhang
author: Ping Chen
published in: Operations Research Letters
publication date: 2019-01-11T00:00:00Z
Mathematics Subject Classification ID: 91G10
zbMATH DE Number: 7000222
zbMATH Keywords: portfolio selection
zbMATH Keywords: regime switching
zbMATH Keywords: shorting prohibition
zbMATH Keywords: mean-variance
MaRDI profile type: Publication
full work available at URL: j.orl.2016.07.008
OpenAlex ID: W2491396281
cites work: Markowitz's mean-variance asset-liability management with regime switching: a continuous-time model
cites work: Optimal dynamic portfolio selection: multiperiod mean-variance formulation
cites work: Dynamic Mean-Variance Portfolio Selection with No-Shorting Constraints
cites work: EXPLICIT SOLUTIONS OF CONSUMPTION-INVESTMENT PROBLEMS IN FINANCIAL MARKETS WITH REGIME SWITCHING
cites work: Investment-Consumption Models with Transaction Fees and Markov-Chain Parameters
cites work: Continuous-time mean-variance portfolio selection: a stochastic LQ framework
cites work: Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model
DOI: 10.1016/J.ORL.2016.07.008
description: scientific article; zbMATH DE number 7000222