Browsing Matemáticas Aplicadas by Author "Ramos Torres, Luis Martín"
Now showing items 1-1 of 1
-
Selección de portafolio bajo el enfoque media-varianza y con cambio de régimen
Ramos Torres, Luis Martín (Pontificia Universidad Católica del PerúPE, 2019-06-27)In the present work, we will study the portfolio selection problem under the meanvariance framework with regime switching. This regime switching is modeled by an homogeneous finite-state Markov chain and affects the relevant ...