Multi-period mean-variance portfolio selection in a regime-switching market with a bankruptcy state and a state-dependent uncertain exit-time.
Reza KeykhaeiPublished in: Int. J. Math. Oper. Res. (2021)
Keyphrases
- portfolio selection
- state dependent
- multi period
- financial markets
- steady state
- optimal portfolio
- optimal policy
- queueing networks
- planning horizon
- queue length
- single server
- markov chain
- production planning
- financial data
- decision making
- arrival rate
- lot sizing
- stationary distribution
- dynamic programming
- search algorithm
- bayesian networks