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(Reference retrieved automatically from Google Scholar through information on FAPESP grant and its corresponding number as mentioned in the publication by the authors.)

A generalized multi-period mean-variance portfolio optimization with Markov switching parameters

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Author(s):
Costa‚ O.L.V. ; Araujo‚ M.V.
Total Authors: 2
Document type: Journal article
Source: AUTOMATICA; v. 44, n. 10, p. 2487-2497, 2008.
FAPESP's process: 03/06736-7 - Control and filtering of Markovian jumping parameters stochastic systems
Grantee:João Bosco Ribeiro do Val
Support type: Research Projects - Thematic Grants