Multi-Period Mean-Variance Portfolio Selection with Regime-Switching

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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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Bibliographic Details
Main Author:	Wang, Yang
Format:	Thesis
Published:	Curtin University 2019
Online Access:	http://hdl.handle.net/20.500.11937/78725

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