Markowitz's mean-variance portfolio selection with regime switching: A continuous-time model

A continuous-time version of the Markowitz mean-variance portfolio selection model is proposed and analyzed for a market consisting of one bank account and multiple stocks. The market parameters, including the bank interest rate and the appreciation and volatility rates of the stocks, depend on the...

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Detaylı Bibliyografya
Asıl Yazarlar: Zhou, X, Yin, G
Materyal Türü: Journal article
Dil:English
Baskı/Yayın Bilgisi: 2003