Markowitz's Mean-Variance Portfolio Selection With Regime Switching: From Discrete-Time Models to Their Continuous-Time Limits

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...

書目詳細資料
Main Authors:	Yin, G, Zhou, X
格式:	Journal article
語言:	English
出版:	2004

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