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-Reference-Cited by-同舟云学术

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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

Published:2021-08-25 Issue: Volume: Page:1-36
ISSN:0361-0926
Container-title:Communications in Statistics - Theory and Methods
language:en
Short-container-title:Communications in Statistics - Theory and Methods

Author:

Ge Hao¹,Li Xingyi²,Li Xun³,Li Zhongfei²⁴

Affiliation:

1. School of Computer Science and Technology, Dongguan University of Technology, Dongguan, China

2. School of Business, Sun Yat-sen University, Guangzhou, China

3. Department of Applied Mathematics, The Hong Kong Polytechnic University, Hong Kong, China

4. College of Big Data Statistics, Guizhou University of Finance and Economics, Guiyang, China

Funder

National Natural Science Foundation of China

the Natural Science Research Team of Guangdong Province of China

Hong Kong General Research Fund

Publisher

Informa UK Limited

Subject

Statistics and Probability

Link

https://www.tandfonline.com/doi/pdf/10.1080/03610926.2021.1939379

Reference32 articles.

1. Time-Consistent Portfolio Selection under Short-Selling Prohibition: From Discrete to Continuous Setting

2. CONTINUOUS-TIME MEAN-VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION

3. A General Theory of Markovian Time Inconsistent Stochastic Control Problems

4. A theory of Markovian time-inconsistent stochastic control in discrete time

5. Portfolio optimization in stochastic markets

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