Mean-variance portfolio selection under a non-Markovian regime-switching model
type: Item
instance of: scholarly article
title: Mean-variance portfolio selection under a non-Markovian regime-switching model
zbMATH Open document ID: 1419.91595
author: Jiaqin Wei
author: Tianxiao Wang
published in: Journal of Computational and Applied Mathematics
publication date: 2019-01-24T00:00:00Z
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 60H10
Mathematics Subject Classification ID: 60J20
zbMATH DE Number: 7006488
zbMATH Keywords: mean-variance portfolio selection
zbMATH Keywords: mean-field backward stochastic differential equations
zbMATH Keywords: Markov chain
zbMATH Keywords: regime-switching
zbMATH Keywords: non-Markovian model
MaRDI profile type: Publication
full work available at URL: j.cam.2018.10.040
OpenAlex ID: W2899838228
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DOI: 10.1016/J.CAM.2018.10.040
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description: scientific article; zbMATH DE number 7006488