Quadratic Risk Minimization in a Regime-Switching Model with Portfolio Constraints - Donnelly, Catherine; Heunis, Andrew J. (SIAM journal on control and optimization, 2012)
Keywords: Applied mathematics; Bear markets; Brownian motion; Conjugates; Engineering research; Expected values; Hedging; Macroeconomics; Markets; Markov analysis; Markov chains; Mathematical analysis; Mathematical models; Optimization; Prices; Raw materials