Optimal portfolio selection with liability management and Markov switching under constrained variance.

Zhicheng Li Huisheng Shu

Published in: Comput. Math. Appl. (2011)

Keyphrases

portfolio selection
optimal portfolio
portfolio management
multistage stochastic
portfolio optimization
expected utility
information systems
dynamic programming
management system
decision making
long term
data mining
markov chain
non stationary
multiple objectives
robust optimization