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...

תיאור מלא

מידע ביבליוגרפי
Main Authors: Zhou, X, Yin, G
פורמט: Journal article
שפה:English
יצא לאור: 2003