Generalized mean-variance portfolio selection model with regime switching (2008)
- Authors:
- Autor USP: COSTA, OSWALDO LUIZ DO VALLE - EP
- Unidade: EP
- Assunto: CADEIAS DE MARKOV
- Language: Inglês
- Imprenta:
- Source:
- Título: 17 IFAC : proceedings.
- Conference titles: World Congress the International Federation of Automatic Control
-
ABNT
COSTA, Oswaldo Luiz do Valle e ARAUJO, Michael Viriato. Generalized mean-variance portfolio selection model with regime switching. 2008, Anais.. Seoul: IFAC, 2008. . Acesso em: 06 fev. 2026. -
APA
Costa, O. L. do V., & Araujo, M. V. (2008). Generalized mean-variance portfolio selection model with regime switching. In 17 IFAC : proceedings.. Seoul: IFAC. -
NLM
Costa OL do V, Araujo MV. Generalized mean-variance portfolio selection model with regime switching. 17 IFAC : proceedings. 2008 ;[citado 2026 fev. 06 ] -
Vancouver
Costa OL do V, Araujo MV. Generalized mean-variance portfolio selection model with regime switching. 17 IFAC : proceedings. 2008 ;[citado 2026 fev. 06 ] - Sampled control for mean-variance hedging in a jump diffusion financial market
- Impulse control of piecewise deterministic systems
- 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
- Discrete-time LQ-optimal control problems for infinite Markov jump parameter systems
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