Continuous-Time Mean-Variance Portfolio Selection Under Non-Markovian Regime-Switching Model with Random Horizon
Author:
Publisher
Springer Science and Business Media LLC
Subject
Information Systems,Computer Science (miscellaneous)
Link
https://link.springer.com/content/pdf/10.1007/s11424-023-1272-3.pdf
Reference24 articles.
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3. Lim A E B and Zhou X Y, Mean-variance portfolio selection with random parameters in a complete market, Math. Oper. Res., 2002, 27(1): 101–120.
4. Zhou X Y and Yin G, Markowitz’s mean-variance portfolio selection with regime switching: A continuous-time model, SIAM J. Control Optim., 2003, 42(4): 1466–1482.
5. Lim A E B, Quadratic hedging and mean-variance portfolio selection with random parameters in an incomplete market, Math. Oper. Res., 2004, 29(1): 132–161.
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