D. Li and W.L. Ng, Optimal dynamic portfolio selection : Multi-period mean-variance formulation, Math. Finance, 10 (2000), 387-406. Home/Search Document Details and Download
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Mean-variance Portfolio Selection under Markov Regime.. - Yin, Zhou (Correct)
....of the recent advances in mean variance portfolio selection and hybrid geometric Brownian motion formulation, this work develops a class of discrete time mean variance portfolio selection models. For some of the recent development of multi period, discretetime portfolio selection problems, see [10], in which optimal strategy was derived together with the e#cient frontier. One of the salient features of the problem we propose to study is its expected appreciation rate and volatility are modulated by a discrete time Markov chain that has a finite state space. The consideration of ....
D. Li and W.L. Ng, Optimal dynamic portfolio selection : Multi-period mean-variance formulation, Math. Finance, 10 (2000), 387-406.
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