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Markowitz's mean-variance portfolio selection with regime switching: from discrete-time models to their continuous-time limits.

Gang George YinXun Yu Zhou
Published in: IEEE Trans. Autom. Control. (2004)
Keyphrases
  • portfolio selection
  • portfolio optimization
  • markov chain
  • portfolio management
  • financial markets
  • robust optimization
  • markov processes
  • genetic programming
  • model selection
  • multiple objectives
  • case based reasoning