Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model
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Publication:4443049
DOI10.1137/S0363012902405583zbMath1175.91169MaRDI QIDQ4443049
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Publication date: 8 January 2004
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
regime switchingMarkov chainportfolio selectionlinear-quadratic controlcontinuous timeefficient frontiermean-variance
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