Quadratic Risk Minimization in a Regime-Switching Model with Portfolio Constraints

Published 2012 View Full Article

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Title
Quadratic Risk Minimization in a Regime-Switching Model with Portfolio Constraints
Authors
Keywords
-
Journal
SIAM JOURNAL ON CONTROL AND OPTIMIZATION
Volume 50, Issue 4, Pages 2431-2461
Publisher
Society for Industrial & Applied Mathematics (SIAM)
Online
2012-08-24
DOI
10.1137/100809271

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