A generalized multi-period mean–variance portfolio optimization with Markov switching parameters - Costa, Oswaldo L.V.; Araujo, Michael V. (Automatica (Oxford), 2008)
Keywords: Applied sciences; Decision theory. Utility theory; Exact sciences and technology; Firm modelling; Generalized mean–variance; Markov chain; Multi-period; Operational research and scientific management; Operational research. Management science; Optimal control; Portfolio optimization; Portfolio theory; Stochastic systems; Markov chain; Portfolio optimization; Stochastic systems; Multi-period; Generalized mean–variance; Optimal control; Markov process; Necessary and sufficient condition; Optimal policy; Transaction processing; Difference equation; Modeling; Switching; Selection problem; Uncertain system; Portfolio selection; Automatic control; Recursive method; Set theory; Riccati equation; Risk management; Generalized mean-variance; Portfolio management; Bankruptcy