Zhou, Xun Yu; Yin, G. Markowitz’s mean-variance portfolio selection with regime switching: A continuous-time model. (English) Zbl 1175.91169 SIAM J. Control Optim. 42, No. 4, 1466-1482 (2003). Cited in 3 ReviewsCited in 177 Documents MSC: 91G10 Portfolio theory 93E20 Optimal stochastic control Keywords:continuous time; regime switching; Markov chain; mean-variance; portfolio selection; efficient frontier; linear-quadratic control PDF BibTeX XML Cite \textit{X. Y. Zhou} and \textit{G. Yin}, SIAM J. Control Optim. 42, No. 4, 1466--1482 (2003; Zbl 1175.91169) Full Text: DOI OpenURL