University of Guilan Journal of Mathematical Modeling 2345-394X 13 3 2025 07 01 Portfolio optimization under regime-switching with market path-dependent returns 497 518 8468 10.22124/jmm.2025.28912.2571 EN Reza Keykhaei Department of Mathematics, Khansar Campus, University of Isfahan, Isfahan, Iran Journal Article 2024 11 06 Asset prices typically follow significant trends influenced by the economic environment or overall investor sentiment. Regime-switching is commonly employed to capture asset price dynamics, as it effectively describes significant trends and reflects the changing correlations of asset returns over various periods. This paper explores  multi-period mean-variance portfolio optimization under regime-switching with path-dependent returns. Unlike conventional models, this paper assumes that asset returns depend on the entire path of market states rather than just the current one. Consequently, investors base their decisions on all observed states up to the current moment. Utilizing dynamic programming techniques, we derive the path-dependent optimal portfolio strategy and the mean-variance efficient frontier in closed form. Furthermore, we demonstrate that the results from the traditional regime-switching model,<br />can be viewed as specific cases of our proposed model. https://jmm.guilan.ac.ir/article_8468_e16ed9d640052b643fc1e3aed2ea4a7d.pdf