Mean-variance portfolio selection with an uncertain exit-time in a regime-switching market.
Reza KeykhaeiPublished in: RAIRO Oper. Res. (2019)
Keyphrases
- portfolio selection
- financial markets
- portfolio management
- multistage stochastic
- optimal portfolio
- decision making
- portfolio optimization
- stock market
- stock price
- multiple objectives
- robust optimization
- risk management
- stock exchange
- theoretical framework
- linear programming
- transaction costs
- artificial intelligence
- data mining