Continuous-time mean-variance portfolio selection with regime-switching financial market: time-consistent solution

DOI10.1515/rose-2020-2050zbMath1461.91265OpenAlexW3125360530MaRDI QIDQ2022311

Ishak Alia, Farid Chighoub

Publication date: 28 April 2021

Published in: Random Operators and Stochastic Equations (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/rose-2020-2050

zbMATH Keywords

time inconsistencyequilibrium strategyinvestment strategymean-variance utilityMarkov regime-switching financial market

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Portfolio theory (91G10)

Related Items (1)

Open-loop equilibrium strategy for mean-variance portfolio selection with investment constraints in a non-Markovian regime-switching jump-diffusion model

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