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

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...

Deskribapen osoa

Xehetasun bibliografikoak
Egile Nagusiak:	Zhou, X, Yin, G
Formatua:	Journal article
Hizkuntza:	English
Argitaratua:	2003

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