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