Continuous-time mean-variance portfolio selection with regime-switching financial market: time-consistent solution
type: Item
instance of: scholarly article
title: Continuous-time mean-variance portfolio selection with regime-switching financial market: time-consistent solution
zbMATH Open document ID: 1461.91265
author: Ishak Alia
author: Farid Chighoub
published in: Random Operators and Stochastic Equations
publication date: 2021-04-28T00:00:00Z
review text: The authors are interested in the optimal time-consistent strategies for the mean-variance portfolio selection problem. They assume the price processes of risky stocks are described by regime-switching stochastic differential equations in a Markov-modulated state-dependent risk aversion setup, and formulate the problem in the game theoretic framework. By solving a flow of forward-backward stochastic differential equations, they obtain an explicit representation as well as uniqueness results of an equilibrium solution.
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 93E20
zbMATH DE Number: 7340922
zbMATH Keywords: mean-variance utility
zbMATH Keywords: time inconsistency
zbMATH Keywords: Markov regime-switching financial market
zbMATH Keywords: investment strategy
zbMATH Keywords: equilibrium strategy
reviewed by: George Stoica
MaRDI profile type: Publication
full work available at URL: rose-2020-2050
OpenAlex ID: W3125360530
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DOI: 10.1515/ROSE-2020-2050
description: scientific article; zbMATH DE number 7340922