Continuous-Time Mean-Variance Portfolio Selection Under Non-Markovian Regime-Switching Model with Random Horizon
نویسندگان
چکیده
This paper considers a continuous-time mean-variance portfolio selection with regime-switching and random horizon. Unlike previous works, the dynamic of assets are described by non-Markovian models in sense that all market parameters predictable respect to filtration generated jointly Markov chain Brownian motion. The is assumed be independent motion, thus incomplete. authors formulate this problem as constrained stochastic linear-quadratic optimal control problem. derive closed-form expressions for both portfolios efficient frontier. All results different from those fixed time
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ژورنال
عنوان ژورنال: Journal of Systems Science & Complexity
سال: 2023
ISSN: ['1009-6124', '1559-7067']
DOI: https://doi.org/10.1007/s11424-023-1272-3