Quadratic Risk Minimization in a Regime-Switching Model...

SIAM Journal on Control and Optimization 2012 / 01 Vol. 50; Iss. 4

Quadratic Risk Minimization in a Regime-Switching Model with Portfolio Constraints

Donnelly, Catherine, Heunis, Andrew J.
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Volume:
50
Language:
english
Journal:
SIAM Journal on Control and Optimization
DOI:
10.1137/100809271
Date:
January, 2012
File:
PDF, 383 KB
english, 2012
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