Mean-variance portfolio selection under regime-switching diffusion asset models: a two-time-scale limit

zbMATH Open1277.91161MaRDI QIDQ4925752FDOQ4925752

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Publication date: 12 June 2013

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Mathematics Subject Classification ID

Diffusion processes (60J60) Portfolio theory (91G10) Continuous-time Markov processes on discrete state spaces (60J27)

Cited In (4)

• Scaling limits of processes with fast nonlinear mean reversion
• Time consistent mean-variance asset allocation for a DC plan with regime switching under a jump-diffusion model
• Near-optimal mean-variance controls under two-time-scale formulations and applications
• Mean-Variance Portfolio Selection under a Non-Markovian Regime-Switching Model: Time-Consistent Solutions

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