Discrete-time mean-variance portfolio optimization with Markov switching parameters (2006)
- Authors:
- Autor USP: COSTA, OSWALDO LUIZ DO VALLE - EP
- Unidade: EP
- Assunto: ENGENHARIA FINANCEIRA
- Language: Inglês
- Imprenta:
- Publisher place: Minneapolis
- Date published: 2006
- ISBN: 1-4244-0210-7
- Source:
- Título: Proceedings
- Conference titles: American Control Conference
-
ABNT
ARAUJO, Michael Viriato e COSTA, Oswaldo Luiz do Valle. Discrete-time mean-variance portfolio optimization with Markov switching parameters. 2006, Anais.. Minneapolis: Escola Politécnica, Universidade de São Paulo, 2006. . Acesso em: 13 fev. 2026. -
APA
Araujo, M. V., & Costa, O. L. do V. (2006). Discrete-time mean-variance portfolio optimization with Markov switching parameters. In Proceedings. Minneapolis: Escola Politécnica, Universidade de São Paulo. -
NLM
Araujo MV, Costa OL do V. Discrete-time mean-variance portfolio optimization with Markov switching parameters. Proceedings. 2006 ;[citado 2026 fev. 13 ] -
Vancouver
Araujo MV, Costa OL do V. Discrete-time mean-variance portfolio optimization with Markov switching parameters. Proceedings. 2006 ;[citado 2026 fev. 13 ] - Sampled control for mean-variance hedging in a jump diffusion financial market
- Impulse control of piecewise deterministic systems
- Generalized mean-variance portfolio selection model with regime switching
- On the discrete-time infinite cooupled riccati equations which arises in a certain optimal control problem
- Suboptimal and static output feedback control of hidden Markov jump linear systems
- Sampled control for mean-variance hedging in a jump diffusion financial market
- State feedback H∞ control for discrete-time infinite-dimensional stochastic bilinear systems
- Discretizations for the average impulse control of piecewise deterministic processes
- A note on stochastic stability for linear systems with jumping parameters
- Asymptotic convergence for the average impulse control of piecewise deterministic processes
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