"Portfolio optimization in the financial market with regime switching under ..."

Vladimir V. Dombrovskii, Tatyana Obyedko (2015)

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DOI: 10.1109/ECC.2015.7331055

access: closed

type: Conference or Workshop Paper

metadata version: 2020-06-02

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Vladimir V. Dombrovskii, Tatyana Obyedko:
Portfolio optimization in the financial market with regime switching under constraints and transaction costs using model predictive control. ECC 2015: 3371-3376

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