Portfolio selection is the theory that studies the pro-cess of selecting the optimal proportion of different assets. The firstapproach was introduced by Harry Markowitz and was based ona mean-variance framework. This paper ...

Traditionally, an (X) over bar chart is used to control the process mean and an R chart is used to control the process variance. However, these charts are not sensitive to small changes in the process parameters. The ...

The usual tests to compare variances and means (e. g. Bartlett`s test and F-test) assume that the sample comes from a normal distribution. In addition, the test for equality of means requires the assumption of homogeneity ...

In this paper, we deal with a generalized multi-period mean-variance portfolio selection problem with market parameters Subject to Markov random regime switchings. Problems of this kind have been recently considered in the ...

In this article, we consider the stochastic optimal control problem of discrete-time linear systems subject to Markov jumps and multiplicative noise under three kinds of performance criterions related to the final value ...

In this paper, we consider the stochastic optimal control problem of discrete-time linear systems subject to Markov jumps and multiplicative noises under two criteria. The first one is an unconstrained mean-variance trade-off ...

In this paper we consider the mean-variance hedging problem of a continuous state space financial model with the rebalancing strategies for the hedging portfolio taken at discrete times. An expression is derived for the ...

In this paper we present a new mean–variance customer portfolio optimization algorithm for a class of ergodic finite controllable Markov chains. In order to have a realistic result we propose an iterated two-step method ...

In this paper we consider the mean-variance hedging problem of a jump diffusion continuous state space financial model with the re-balancing strategies for the hedging portfolio taken at discrete times, a situation that ...