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Markowitz's mean-variance portfolio selection with regime switching: A continuous-time model

Abstract:

A continuous-time version of the Markowitz mean-variance portfolio selection model is proposed and analyzed for a market consisting of one bank account and multiple stocks. The market parameters, including the bank interest rate and the appreciation and volatility rates of the stocks, depend on the market mode that switches among a finite number of states. The random regime switching is assumed to be independent of the underlying Brownian motion. This essentially renders the underlying market...

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Publisher copy:
10.1137/S0363012902405583

Authors


Journal:
SIAM Journal on Control and Optimization
Volume:
42
Issue:
4
Pages:
1466-1482
Publication date:
2003
DOI:
EISSN:
1095-7138
ISSN:
0363-0129
URN:
uuid:cef85d90-b318-4a4d-a537-97c42e8618d0
Source identifiers:
147794
Local pid:
pubs:147794

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