Log Mean-Variance Portfolio Selection Under Regime Switching
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References listed on IDEAS
- Timmermann, Allan, 2000. "Moments of Markov switching models," Journal of Econometrics, Elsevier, vol. 96(1), pages 75-111, May.
- Jin-Chuan Duan & Ivilina Popova & Peter Ritchken, 2002. "Option pricing under regime switching," Quantitative Finance, Taylor & Francis Journals, vol. 2(2), pages 116-132.
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- Campbell, John Y. & Viceira, Luis M., 2002. "Strategic Asset Allocation: Portfolio Choice for Long-Term Investors," OUP Catalogue, Oxford University Press, number 9780198296942.
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- Psaradakis, Zacharias & Sola, Martin, 1998. "Finite-sample properties of the maximum likelihood estimator in autoregressive models with Markov switching," Journal of Econometrics, Elsevier, vol. 86(2), pages 369-386, June.
- Luenberger, David G., 1993. "A preference foundation for log mean-variance criteria in portfolio choice problems," Journal of Economic Dynamics and Control, Elsevier, vol. 17(5-6), pages 887-906.
More about this item
KeywordsRegime switching model; Dynamic portfolio selection; Discrete-time; Log mean-variance criteria; Quadratic programming; EM algorithm;
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