Markowitz's Mean-Variance Portfolio Selection With Regime Switching: From Discrete-Time Models to Their Continuous-Time Limits

DOI10.1109/TAC.2004.824479zbMath1366.91148MaRDI QIDQ5273707

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Publication date: 12 July 2017

Published in: IEEE Transactions on Automatic Control (Search for Journal in Brave)

Mathematics Subject Classification ID

93E20: Optimal stochastic control

91G80: Financial applications of other theories

90C40: Markov and semi-Markov decision processes

91G10: Portfolio theory

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