Equilibrium strategy for a multi-period weighted mean-variance portfolio selection in a Markov regime-switching market with uncertain time-horizon and a stochastic cash flow

DOI10.1080/03610926.2021.1939379OpenAlexW3196122947MaRDI QIDQ6161000

Zhong-Fei Li, Xun Li, Xingyi Li, Hao Ge

Publication date: 26 June 2023

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10397/93850

zbMATH Keywords

equilibrium strategyMarkov regime-switchingstochastic cash flowuncertain time-horizonequilibrium efficient frontiermulti-period weighted mean-variance portfolio selection

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

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