Mean-variance portfolio selection under a non-Markovian regime-switching model

DOI10.1016/j.cam.2018.10.040zbMath1419.91595OpenAlexW2899838228MaRDI QIDQ1713195

Jiaqin Wei, Tian Xiao Wang

Publication date: 24 January 2019

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2018.10.040

zbMATH Keywords

Markov chainregime-switchingmean-variance portfolio selectionmean-field backward stochastic differential equationsnon-Markovian model

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Portfolio theory (91G10)

Related Items (7)

Optimal mean-variance reinsurance and investment strategy with constraints in a non-Markovian regime-switching model ⋮ Equilibrium investment and risk control for an insurer with non-Markovian regime-switching and no-shorting constraints ⋮ Open-loop equilibrium strategy for mean-variance portfolio selection with investment constraints in a non-Markovian regime-switching jump-diffusion model ⋮ Exact and approximate solutions for the fractional Schrödinger equation with variable coefficients ⋮ Mean-variance asset-liability management in a non-Markovian regime-switching jump-diffusion market with random horizon ⋮ Time-consistent equilibrium reinsurance-investment strategy for \(n\) competitive insurers under a new interaction mechanism and a general investment framework ⋮ Mean-Variance Portfolio Selection under a Non-Markovian Regime-Switching Model: Time-Consistent Solutions

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