Quadratic Risk Minimization in a Regime-Switching Model with Portfolio Constraints
Author:
Publisher
Society for Industrial & Applied Mathematics (SIAM)
Subject
Applied Mathematics,Control and Optimization
Link
http://epubs.siam.org/doi/pdf/10.1137/100809271
Reference8 articles.
1. Conjugate convex functions in optimal stochastic control
2. Convex Duality in Constrained Portfolio Optimization
3. Least-Squares Approximation of Random Variables by Stochastic Integrals
4. Convex duality in constrained mean-variance portfolio optimization
5. EXPLICIT SOLUTIONS OF CONSUMPTION-INVESTMENT PROBLEMS IN FINANCIAL MARKETS WITH REGIME SWITCHING
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