"Quadratic Risk Minimization in a Regime-Switching Model with Portfolio ..."

Catherine Donnelly, Andrew J. Heunis (2012)

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DOI: 10.1137/100809271

access: closed

type: Journal Article

metadata version: 2020-07-09

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Catherine Donnelly, Andrew J. Heunis:
Quadratic Risk Minimization in a Regime-Switching Model with Portfolio Constraints. SIAM J. Control. Optim. 50(4): 2431-2461 (2012)

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