Convex duality in constrained mean-variance portfolio optimization under a regime-switching model
In this thesis, we solve a mean-variance portfolio optimization problem with portfolio constraints under a regime-switching model. Specifically, we seek a portfolio process which minimizes the variance of the terminal wealth, subject to a terminal wealth constraint and convex portfolio constraints....
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| Language: | en |
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2008
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| Online Access: | http://hdl.handle.net/10012/4004 |