Mean–variance portfolio selection under a non-Markovian regime-switching model
Author:
Funder
Program of Shanghai Subject Chief Scientist
111 Project
National Natural Science Foundation of China
Publisher
Elsevier BV
Subject
Applied Mathematics,Computational Mathematics
Reference27 articles.
1. Portfolio selection;Markowitz;J. Finance,1952
2. Optimal dynamic portfolio selection: Multi-period mean–variance formulation;Li;Math. Finance,2000
3. Continuous-time mean–variance portfolio selection: A stochastic LQ framework;Zhou;Appl. Math. Optim.,2000
4. Mean–variance portfolio selection with random parameters in a complete market;Lim;Math. Oper. Res.,2002
5. Quadratic hedging and mean–variance portfolio selection with random parameters in an incomplete market;Lim;Math. Oper. Res.,2004
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