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

DOI10.3934/jimo.2022048OpenAlexW4225475710MaRDI QIDQ2691262

Mohamed Sofiane Alia, Ishak Alia

Publication date: 29 March 2023

Published in: Journal of Industrial and Management Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/jimo.2022048

zbMATH Keywords

portfolio constraintstime-inconsistencyinvestment strategymean-variance utilityopen-loop equilibrium strategynon-Markovian regime-switching

Mathematics Subject Classification ID

Stochastic systems and control (93E99) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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