Mean-variance Portfolio Selection under Markov Regime: Discrete-time Models and Continuous-time Limits
نویسندگان
چکیده
In this paper, we propose a discrete-time model for mean-variance portfolio selection. One of the distinct features is that the system under consideration is a Markov modulated system. We show that under suitable conditions and scaling, the process of interest goes to a switching diffusion limit. Related issues on optimal strategies and efficient frontier will also be mentioned.
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