Markowitz's Mean-Variance Portfolio Selection With Regime Switching: From Discrete-Time Models to Their Continuous-Time Limits

DOI10.1109/TAC.2004.824479zbMath1366.91148OpenAlexW2164154633MaRDI QIDQ5273707

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Publication date: 12 July 2017

Published in: IEEE Transactions on Automatic Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1109/tac.2004.824479

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Financial applications of other theories (91G80) Markov and semi-Markov decision processes (90C40) Portfolio theory (91G10)

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