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Mean-Variance Portfolio Selection under a Non-Markovian Regime-Switching Model: Time-Consistent Solutions.

Tianxiao WangZhuo JinJiaqin Wei
Published in: SIAM J. Control. Optim. (2019)
Keyphrases
  • portfolio selection
  • portfolio optimization
  • probabilistic model
  • stochastic process
  • neural network
  • decision making
  • robust optimization