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

MaRDI QIDQ4925752zbMATH OpenFDO

Authors

Publication date 12 June 2013

Mathematics Subject Classification ID

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

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Cited in

(4)

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

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