Portfolio Selection with Capital Gains Tax, Recursive Utility, and Regime Switching.

Jiatu Cai Xinfu Chen Min Dai

Published in: Manag. Sci. (2018)

Keyphrases

portfolio selection
multistage stochastic
portfolio optimization
portfolio management
utility function
robust optimization
financial markets
transaction costs
multiple objectives
neural network
data mining
dynamic programming
management system
non stationary
expected utility