Discrete-time mean-variance portfolio optimization with Markov switching parameters.

Michael Viriato Araujo Oswaldo Luiz do Valle Costa

Published in: ACC (2006)

Keyphrases

portfolio optimization
portfolio selection
portfolio management
problems involving
markov chain
factor analysis
bi objective
risk management
stock price
robust optimization
stock market
optimization methods
stock exchange
discriminant analysis
utility function
investment decisions
genetic algorithm