Multi-period mean-variance portfolio selection with Markov regime switching and uncertain time-horizon.
Huiling WuZhongfei LiPublished in: J. Syst. Sci. Complex. (2011)
Keyphrases
- portfolio selection
- multi period
- production planning
- facility location problem
- planning horizon
- portfolio optimization
- routing problem
- data envelopment analysis
- multi item
- lot sizing
- robust optimization
- markov chain
- decision making
- financial markets
- multiple objectives
- optimal portfolio
- total cost
- infinite horizon
- greedy algorithm
- supply chain
- np hard
- lower bound