Multi-Period Mean-Variance Portfolio Optimization With Markov Switching Parameters

Sba: Controle & Automação Sociedade Brasileira de Automatica

doi 10.1590/s0103-17592008000200003

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Abstract

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Date

June 1, 2008

Authors

Oswaldo L. V. Costa

Michael V. Araujo

Publisher

FapUNIFESP (SciELO)

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