Portfolio Selection in the Enlarged Markovian Regime-Switching Market.

Xin Zhang Tak Kuen Siu Qingbin Meng

Published in: SIAM J. Control. Optim. (2010)

Keyphrases

portfolio selection
financial markets
portfolio management
optimal portfolio
portfolio optimization
multistage stochastic
stock market
stock price
decision making
multiple objectives
robust optimization
non stationary
multistage
steady state
risk management
transaction costs