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...

Bibliografske podrobnosti
Main Authors:	Zhou, X, Yin, G
Format:	Journal article
Jezik:	English
Izdano:	2003

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