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The market is modelled by a non-homogeneous Markov chain in which the random returns of assets depend on the states of the market and investment time periods. Applying the Lagrange duality method, we derive explicit closed-form expressions for the optimal investment strategies and the efficient frontier. Also, we show that some known results in the literature can be obtained as special cases of our results. A numerical example is provided to illustrate the results.<\/jats:p>","DOI":"10.1051\/ro\/2018050","type":"journal-article","created":{"date-parts":[[2018,6,25]],"date-time":"2018-06-25T18:45:55Z","timestamp":1529952355000},"page":"1171-1186","source":"Crossref","is-referenced-by-count":0,"title":["Mean-variance portfolio selection with an uncertain exit-time in a regime-switching market"],"prefix":"10.1051","volume":"53","author":[{"given":"Reza","family":"Keykhaei","sequence":"first","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"250","published-online":{"date-parts":[[2019,7,29]]},"reference":[{"key":"R1","doi-asserted-by":"crossref","first-page":"252","DOI":"10.1007\/s10957-012-0138-y","volume":"157","author":"Bi","year":"2013","journal-title":"J. Optim. Theory Appl."},{"key":"R2","doi-asserted-by":"crossref","first-page":"43","DOI":"10.1007\/s10479-013-1338-z","volume":"212","author":"Bi","year":"2014","journal-title":"Ann. Oper. 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