Browsing Statistics and Actuarial Science by Author "Donnelly, Catherine"
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Convex duality in constrained mean-variance portfolio optimization under a regime-switching model
Donnelly, Catherine (University of Waterloo, 2008-09-23)In this thesis, we solve a mean-variance portfolio optimization problem with portfolio constraints under a regime-switching model. Specifically, we seek a portfolio process which minimizes the variance of the terminal ...