Xie, Shuxiang - In: Insurance: Mathematics and Economics 45 (2009) 1, pp. 148-155
A continuous-time mean-variance model for individual investors with stochastic liability in a Markovian regime switching financial market, is investigated as a generalization of the model of Zhou and Yin [Zhou, X.Y., Yin, G., 2003. Markowitz's mean-variance portfolio selection with regime...