MULTI-PERIOD MEAN-VARIANCE PORTFOLIO SELECTION WITH MARKOV REGIME SWITCHING AND UNCERTAIN TIME-HORIZON

Abstract

这份报纸调查一个多时期有政体切换和不明确的出口时间的吝啬变化的公事包选择。财产的回来都取决于被假定跟随分离时间的 Markov 链的随机的市场的状态。作者导出最佳的策略和模型的有效边疆在靠近形式。在存在文学的一些结果作为我们的结果的特殊情况被获得。

Cite this work

No public copy is stored for this record, so only the metadata is cited.

Stored only when both papers are in the corpus — 28 citations exist upstream.