Mean-variance Portfolio Selection under Markov Regime : Discrete-time Models and Continuous-time Limits

@inproceedings{Yin2002MeanvariancePS,
  title={Mean-variance Portfolio Selection under Markov Regime : Discrete-time Models and Continuous-time Limits},
  author={George Yin and Xiao You Zhou},
  year={2002}
}
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… CONTINUE READING