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"Markowitz's mean-variance portfolio selection with regime switching: from ..."

Gang George Yin, Xun Yu Zhou (2004)

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DOI: 10.1109/TAC.2004.824479

access: closed

type: Journal Article

metadata version: 2020-05-20

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Gang George Yin, Xun Yu Zhou:
Markowitz's mean-variance portfolio selection with regime switching: from discrete-time models to their continuous-time limits. IEEE Trans. Autom. Control. 49(3): 349-360 (2004)

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