Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model

By Xun Yu Zhou, George Yin. SIAM Journal of Control and Optimization, 2003

508 citations recorded by the source corpus.

Subfields: Demography, Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/450e3552bc0e9596051b8baed8588f15aa6bb54d

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Demography

1. Robert J. R. Elliott
2. Guang-Hua Lian
3. Catherine Donnelly
4. Tak Kuen Siu
5. Abel Cadenillas
6. Luz R. Sotomayor
7. Michael Viriato Araujo
8. Oswaldo Luiz do Valle Costa

In Economics and Econometrics

1. Xun Yu Zhou
2. Tak Kuen Siu
3. Tomasz R. Bielecki
4. Abel Cadenillas
5. Luz R. Sotomayor
6. Xiangyu Cui
7. Catherine Donnelly
8. Hanqing Jin

In Finance

1. Xun Yu Zhou
2. Robert J. R. Elliott
3. Guang-Hua Lian
4. Peter A. Forsyth
5. Tak Kuen Siu
6. Xiangyu Cui
7. Tomasz R. Bielecki
8. Duan Li

Citations in the corpus

• Sufficient Stochastic Maximum Principle in a Regime-Switching Diffusion Model (2010, methodology): “The optimal control process for the mean-variance problem was also found in Zhou and Yin (2003) using a stochastic LQ control technique and completion-of-squares.”
• EXPLICIT SOLUTIONS OF CONSUMPTION‐INVESTMENT PROBLEMS IN FINANCIAL MARKETS WITH REGIME SWITCHING (2009, methodology): “As far as we know, Zhou and Yin (2003) and this paper are the only ones which obtain explicit solutions for classical stochastic control problems with regime switching.”
• BETTER THAN DYNAMIC MEAN‐VARIANCE: TIME INCONSISTENCY AND FREE CASH FLOW STREAM (2012, background): “…have witnessed numerous extensions of the mean-variance portfolio selection theory, see for examples, Li, Zhou, and Lim (2001), Lim and Zhou (2002), Zhou and Yin (2003), Hu and Zhou (2005), Bielecki et al. (2005), Li and Zhou (2006), Chiu and Li (2006), Xiong and Zhou (2007) in continuous-time…”
• Multi-period mean-variance portfolio optimization with markov switching parameters (2008, methodology): “The basic idea in (Yin and Zhou, 2004) is to use the optimal strategy of the limit continuous time problem obtained in (Zhou and Yin, 2003) to derive a nearly optimal portfolio for the discrete time model presented in equation (6) of (Yin and Zhou, 2004).”
• A stochastic differential game for optimal investment of an insurer with regime switching (2011, background): “Some works include Elliott and van der Hoek (1997), Zhou and Yin (2003), Elliott and Siu (2009, 2010), and others.”
• Pricing variance and volatility swaps in a stochastic volatility model with regime switching: discrete observations case (2013, background): “…(Elliott and Van der Hoek 1997), for short-term rate model and bond evaluation (Elliott and Siu 2009), for portfolio analysis (Honda 2003, Zhou and Yin 2004, Elliott et al. 2010), for pricing options (Guo and Zhang 2004, Elliott et al. 2005), and for risk management (Elliott et al. 2008).”
• CONTINUOUS‐TIME MEAN‐VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION (2005, background): “Lim and Zhou (2002) allowed for stocks that are modeled by processes having random drift and diffusion coefficients, Zhou and Yin (2003) featured assets in a regime switching market, and Li, Zhou, and Lim (2001) introduced a constraint on short selling.”