Mean-Variance Portfolio Selection under a Non-Markovian Regime-Switching Model: Time-Consistent Solutions
From MaRDI portal
Publication:5234665
DOI10.1137/18M1186423;zbMath1425.91396MaRDI QIDQ5234665
Zhuo Jin, Jiaqin Wei, Tian Xiao Wang
Publication date: 30 September 2019
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://epubs.siam.org/doi/pdf/10.1137/18M1186423
Markov chainmean-varianceregime-switchingopen-loop equilibrium strategylinear closed-loop equilibrium strategy
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) Financial applications of other theories (91G80) Portfolio theory (91G10)
Related Items (15)
Equilibrium investment and risk control for an insurer with non-Markovian regime-switching and no-shorting constraints ⋮ A Nash-Type Fictitious Game Framework to Time-Inconsistent Stochastic Control Problems ⋮ Equilibrium dividend strategies for spectrally negative Lévy processes with time value of ruin and random time horizon ⋮ Time inconsistent asset-liability management with partial information ⋮ Uniqueness of equilibrium strategies in dynamic mean-variance problems with random coefficients ⋮ A robust time‐inconsistent linear‐quadratic problem ⋮ Asset-liability management with state-dependent utility in the regime-switching market ⋮ Open-loop equilibriums for a general class of time-inconsistent stochastic optimal control problems ⋮ A class of non-zero-sum stochastic differential games between two mean–variance insurers under stochastic volatility ⋮ Non-Markovian mean-variance portfolio selection problems via closed-loop equilibrium strategies ⋮ Open-loop equilibrium strategy for mean-variance portfolio selection with investment constraints in a non-Markovian regime-switching jump-diffusion model ⋮ Unnamed Item ⋮ Mean-variance asset-liability management in a non-Markovian regime-switching jump-diffusion market with random horizon ⋮ Mean-variance portfolio selection with dynamic attention behavior in a hidden Markov model ⋮ Mean-variance portfolio selection with non-negative state-dependent risk aversion
Cites Work
- Unnamed Item
- Unnamed Item
- On Markovian solutions to Markov chain BSDEs
- Investment-consumption with regime-switching discount rates
- On time-inconsistent stochastic control in continuous time
- Investment and consumption without commitment
- Continuous-time mean-variance portfolio selection: a stochastic LQ framework
- Time-consistent mean-variance asset-liability management with random coefficients
- Mean-variance portfolio selection under a non-Markovian regime-switching model
- Time-inconsistent optimal control problems and the equilibrium HJB equation
- The golden rule when preferences are time inconsistent
- Time-consistent mean-variance portfolio selection in discrete and continuous time
- Equilibrium controls in time inconsistent stochastic linear quadratic problems
- Mean-variance asset-liability management problem under non-Markovian regime-switching models
- Comparisons for backward stochastic differential equations on Markov chains and related no-arbitrage conditions
- Characterization of optimal feedback for stochastic linear quadratic control problems
- Risk-minimizing pricing and Esscher transform in a general non-Markovian regime-switching jump-diffusion model
- Markowitz's mean-variance asset-liability management with regime switching: a time-consistent approach
- Markowitz's mean-variance asset-liability management with regime switching: a continuous-time model
- Optimal Dynamic Portfolio Selection: Multiperiod Mean-Variance Formulation
- Solutions of Backward Stochastic Differential Equations on Markov Chains
- Open-Loop and Closed-Loop Solvabilities for Stochastic Linear Quadratic Optimal Control Problems
- Time-Inconsistent Stochastic Linear--Quadratic Control
- EXPLICIT SOLUTIONS OF CONSUMPTION-INVESTMENT PROBLEMS IN FINANCIAL MARKETS WITH REGIME SWITCHING
- On Markov‐modulated Exponential‐affine Bond Price Formulae
- A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
- Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model
- Time-Consistent Portfolio Management
- Time-Inconsistent Stochastic Linear-Quadratic Control: Characterization and Uniqueness of Equilibrium
- Linear-quadratic optimal control problems for mean-field stochastic differential equations — time-consistent solutions
- MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE‐DEPENDENT RISK AVERSION
- Mean-Variance Portfolio Selection with Random Parameters in a Complete Market
- Quadratic Hedging and Mean-Variance Portfolio Selection with Random Parameters in an Incomplete Market
This page was built for publication: Mean-Variance Portfolio Selection under a Non-Markovian Regime-Switching Model: Time-Consistent Solutions
