Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model (Q4443049)
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scientific article; zbMATH DE number 2024330
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model |
scientific article; zbMATH DE number 2024330 |
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Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model (English)
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8 January 2004
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continuous time
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regime switching
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Markov chain
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mean-variance
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portfolio selection
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efficient frontier
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linear-quadratic control
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