Komatsu, Takahiro; Makimoto, Naoki - In: Asia-Pacific Financial Markets 22 (2015) 2, pp. 209-237
<Para ID="Par1">A model for dynamic investment strategy is developed where assets’ returns are represented by multiple factors. In a mean–variance framework with factor models under regime switches, we derive a semi-analytic solution for the optimal portfolio with transaction costs. Due to the existence of...</para>