Log mean-variance portfolio selection under regime switching
type: Item
instance of: scholarly article
title: Log mean-variance portfolio selection under regime switching
zbMATH Open document ID: 1278.91145
author: Hiroshi Ishijima
author: Masaki Uchida
published in: Asia-Pacific Financial Markets
publication date: 2011-05-25T00:00:00Z
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 90C20
Mathematics Subject Classification ID: 91G70
Mathematics Subject Classification ID: 62M02
Mathematics Subject Classification ID: 62H30
zbMATH DE Number: 5899524
zbMATH Keywords: regime switching model
zbMATH Keywords: dynamic portfolio selection
zbMATH Keywords: discrete-time
zbMATH Keywords: log mean-variance criteria
zbMATH Keywords: quadratic programming
zbMATH Keywords: EM algorithm
MaRDI profile type: Publication
full work available at URL: s10690-010-9132-2
OpenAlex ID: W2013095020
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cites work: Moments of Markov switching models
DOI: 10.1007/S10690-010-9132-2
description: scientific article; zbMATH DE number 5899524