Portfolio selection with regime-switching and state-dependent preferences.
Jiaqin WeiYang ShenQian ZhaoPublished in: J. Comput. Appl. Math. (2020)
Keyphrases
- portfolio selection
- state dependent
- steady state
- multiple objectives
- optimal policy
- queueing networks
- stationary distribution
- financial markets
- arrival rate
- markov chain
- single server
- queue length
- asymptotically optimal
- decision making
- multi objective
- reinforcement learning
- knapsack problem
- decision support system
- multistage
- fitness function
- robust optimization
- random walk
- linear programming
- inventory level
- optimal portfolio