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Mean-variance portfolio selection with dynamic attention behavior in a hidden Markov model - MaRDI portal

Mean-variance portfolio selection with dynamic attention behavior in a hidden Markov model (Q2097791)

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Mean-variance portfolio selection with dynamic attention behavior in a hidden Markov model
scientific article

    Statements

    title
    Mean-variance portfolio selection with dynamic attention behavior in a hidden Markov model (English)
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    author
    Yanyan Li
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    published in
    Automatica
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    publication date
    14 November 2022
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    zbMATH Keywords
    mean-variance portfolio selection
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    dynamic attention behavior
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    extended HJB equation
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    Markov chain approximation
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    hidden Markov model
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    cites work

    Identifiers

    Mathematics Subject Classification ID
    91G10
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    62P05
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    62M05
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    zbMATH DE Number
    7616422
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    OpenAlex ID
    W4280509435
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    arXiv ID
    2205.08743
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