Optimal policy for a time consistent mean–variance model with regime switching

DOI10.1093/imaman/dpu018zbMath1433.91160OpenAlexW2084530692MaRDI QIDQ5382688

Zhiping Chen, Gang Li, Jia Liu

Publication date: 18 June 2019

Published in: IMA Journal of Management Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/imaman/dpu018

zbMATH Keywords

dynamic programmingregime switchingmultiperiod portfolio selectionmean-varianceoptimal investment policytime consistent

Mathematics Subject Classification ID

Dynamic programming (90C39) Financial applications of other theories (91G80) Portfolio theory (91G10)

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Time consistent mean-variance asset allocation for a DC plan with regime switching under a jump-diffusion model

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