Log Mean-Variance Portfolio Selection Under Regime Switching

Hiroshi Ishijima () and Masaki Uchida ()

Asia-Pacific Financial Markets, 2011, vol. 18, issue 2, pages 213-229

Keywords: Regime switching model; Dynamic portfolio selection; Discrete-time; Log mean-variance criteria; Quadratic programming; EM algorithm (search for similar items in EconPapers)
Date: 2011
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