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Portfolio selection in a regime switching market with a bankruptcy state and an uncertain exit-time: multi-period mean-variance formulation.
Reza Keykhaei
Published in:
Oper. Res. (2020)
Keyphrases
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portfolio selection
multi period
financial markets
robust optimization
portfolio optimization
optimal portfolio
decision making
multiple objectives
production planning
planning horizon
facility location problem
stock price
routing problem
multi item
non stationary
traffic flow