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A generalized multi-period mean-variance portfolio optimization with Markov switching parameters
(PERGAMON-ELSEVIER SCIENCE LTD, 2008)
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 ...
Multi-period mean-variance portfolio optimization with markov switching parameters
(Sociedade Brasileira de Automática, 2008)
In this paper we deal with a multi-period mean-variance portfolio selection problem with the market parameters subject to Markov random regime switching. We analytically derive an optimal control policy for this mean-variance ...
A Multi-Period Mean-Variance Portfolio Selection ProblemUm Problema de Seleção de Carteiras de Múltiplos Períodos por Média e Variância
(Lociedade Brasileira de Finanças, 2005)
Optimal mean-variance control for discrete-time linear systems with Markovian jumps and multiplicative noises
(PERGAMON-ELSEVIER SCIENCE LTDOXFORD, 2012-02)
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 ...
Long-term asset allocation based on stochastic multistage multi-objective portfolio optimization
(2016-08-19)
Multi-Period Stochastic Programming (MSP) offers an appealing approach to identity optimal portfolios, particularly over longer investment horizons, because it is inherently suited to handle uncertainty. Moreover, it ...
Diversity among elephant grass genotypes using Bayesian multi-trait model
(Genetics and Molecular Research, 2018)
Multi-century lake area changes in the Southern Altiplano: A tree-ring-based reconstruction
(Copernicus Publications, 2015-09-15)
Size fluctuations in endorheic lakes in northwestern Argentina (NWA) and southwestern Bolivia (SWB) are very sensitive to basin hydrological balances, and consequently, very vulnerable to deleterious effects from climatic ...
Genetic (co) variance across age of fiber diameter and standard deviation in Huacaya alpacas, estimated by repeatability, multi-trait and random regression models
(ElsevierUS, 2020)
A total of 14,378 records of fiber diameter (FD) and its standard deviation (SD) from Huacaya alpaca recorded between 2001 and 2017 at Pacomarca genetic center were used in this study. These records were analyzed by a ...
Multi-century tree-ring based reconstruction of the Neuquén River streamflow, northern Patagonia, Argentina
(Copernicus Publications, 2012-08)
In most cases, gauged river flow records in southern South America extend for only a few decades, hampering the detection of long-term, decadal to centennial-scale cycles and trends. Long streamflow series can be reconstructed ...