Mean–variance portfolio selection under a constant elasticity of variance model

2014 ◽  
Vol 42 (5) ◽  
pp. 337-342 ◽  
Author(s):  
Yang Shen ◽  
Xin Zhang ◽  
Tak Kuen Siu
Keyword(s):  
Portfolio Selection ◽  
Variance Model ◽  
Constant Elasticity ◽  
Constant Elasticity Of Variance ◽  
Mean Variance Portfolio ◽  
Mean Variance

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

2021 ◽  
Vol 0 (0) ◽  
Author(s):  
Ishak Alia ◽  
Farid Chighoub
Keyword(s):  
Portfolio Selection ◽  
Regime Switching ◽  
Optimal Time ◽  
Uniqueness Results ◽  
State Dependent ◽  
Consistent Solution ◽  
Game Theoretic ◽  
Markov Modulated ◽  
Mean Variance Portfolio ◽  
Mean Variance

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.

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