Mean-Variance Portfolio Selection with a Stochastic Cash Flow in a Markov-switching Jump-Diffusion Market.
Huiling WuPublished in: J. Optim. Theory Appl. (2013)
Keyphrases
- portfolio selection
- cash flow
- financial markets
- financial institutions
- real option
- portfolio management
- optimal portfolio
- portfolio optimization
- stock price
- markov chain
- robust optimization
- stock market
- stochastic process
- stochastic programming
- individual level
- risk management
- monte carlo
- decision making
- data mining
- stochastic model
- long term