Continuous-time mean-variance portfolio selection with regime-switching financial market: Time-consistent solution
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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.
2021 ◽
Vol 18
(3)
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pp. 336
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2020 ◽
Vol 1
(1)
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pp. 1
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2009 ◽
Vol 45
(1)
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pp. 148-155
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2010 ◽
Vol 27
(3)
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pp. 678-686
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