Continuous-time mean-variance portfolio selection with regime-switching financial market: Time-consistent solution-Reference-Cited by-同舟云学术

Continuous-time mean-variance portfolio selection with regime-switching financial market: Time-consistent solution

Published:2021-01-21 Issue:1 Volume:29 Page:11-25
ISSN:1569-397X
Container-title:Random Operators and Stochastic Equations
language:en
Short-container-title:

Author:

Alia Ishak¹,Chighoub Farid²

Affiliation:

1. Department of Mathematics , University of Bordj Bou Arreridj , Bordj Bou Arreridj 34000 , Algeria

2. Department of Applied Mathematics , University Mohamed Khider , Po. Box 145 Biskra 07000 , Algeria

Abstract

Abstract This paper studies optimal time-consistent strategies for the mean-variance portfolio selection problem. Especially, we assume that the price processes of risky stocks are described by regime-switching SDEs. We consider a Markov-modulated state-dependent risk aversion and we formulate the problem in the game theoretic framework. Then, by solving a flow of forward-backward stochastic differential equations, an explicit representation as well as uniqueness results of an equilibrium solution are obtained.

Publisher

Walter de Gruyter GmbH

Subject

Statistics and Probability,Analysis

Link

https://www.degruyter.com/document/doi/10.1515/rose-2020-2050/pdf

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