Markowitz's Mean-Variance Portfolio Selection With Regime Switching: From Discrete-Time Models to Their Continuous-Time Limits
We study a discrete-time version of Markowitz's mean-variance portfolio selection problem where the market parameters depend on the market mode (regime) that jumps among a finite number of states. The random regime switching is delineated by a finite-state Markov chain, based on which a discret...
| Main Authors: | , |
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| Formato: | Journal article |
| Idioma: | English |
| Publicado em: |
2004
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