Multi-Period Mean-Variance Portfolio Selection with Regime-Switching
This thesis studies the multi-period mean-variance portfolio selection under regime-switching with two kinds of constraints: uncertain time horizon and special market conditions. The thesis uses dynamic programming approach to obtain the optimal investment strategies and the corresponding efficient...
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| Format: | Thesis |
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Curtin University
2019
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| Online Access: | http://hdl.handle.net/20.500.11937/78725 |