Elliott, Robert J.; Siu, Tak Kuen; Badescu, Alex - In: Economic Modelling 27 (2010) 3, pp. 678-686
We study a mean-variance portfolio selection problem under a hidden Markovian regime-switching Black-Scholes-Merton economy. Under this model, the appreciation rate of a risky share is modulated by a continuous-time, finite-state hidden Markov chain whose states represent different states of an...