A generalized multi-period mean–variance portfolio optimization with Markov switching parameters

Author:

Costa Oswaldo L.V.,Araujo Michael V.

Publisher

Elsevier BV

Subject

Electrical and Electronic Engineering,Control and Systems Engineering

Reference27 articles.

1. Discrete-time indefinite LQ control with state and control dependent noises;Ait Rami;Journal of Global Optimization,2002

2. Portfolio optimization with Markov-modulated stock prices and interest rates;Bäuerle;IEEE Transactions on Automatic Control,2004

3. Portfolio optimization in stochastic markets;Çakmak;Mathematical Methods of Operations Research,2006

4. Stochastic linear quadratic regulators with indefinite control weight costs;Chen;SIAM Journal on Control and Optimization,1998

5. Discrete-time Markov jump linear systems;Costa,2005

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