Markowitz’s mean-variance asset-liability management with regime switching: A continuous-time model

@article{Chen2008MarkowitzsMA,
  title={Markowitz’s mean-variance asset-liability management with regime switching: A continuous-time model},
  author={Ping Chen and Hailiang Yang and George Yin},
  journal={Insurance Mathematics \& Economics},
  year={2008},
  volume={43},
  pages={456-465}
}
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A continuous-time version of the Markowitz mean-variance portfolio selection model is proposed and analyzed for a market consisting of one bank account and multiple stocks, finding that if the interest rate is deterministic, then the results exhibit (rather unexpected) similarity to their no-regime-switching counterparts, even if the stock appreciation and volatility rates are Markov-modulated.
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