Original paper
Markowitz's Mean-Variance Asset–Liability Management with Regime Switching: A Multi-Period Model
Abstract
This paper considers an optimal portfolio selection problem under Markowitz's mean-variance portfolio selection problem in a multi-period regime-switching model. We assume that there are n + 1 securities in the market. Given an economic state which is modelled by a finite state Markov chain, the return of each security at a fixed time point is a random variable. The return random variables may be different if the economic state is changed even...
Paper Details
Title
Markowitz's Mean-Variance Asset–Liability Management with Regime Switching: A Multi-Period Model
Published Date
Feb 17, 2011
Journal
Volume
18
Issue
1
Pages
29 - 50
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Notes
History