Continuous-time mean-variance portfolio selection with regime-switching financial market: time-consistent solution
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.
Markov regime-switching financial market
scientific article; zbMATH DE number 7340922
scientific article