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

This article considers a multi-period weighted mean-variance portfolio selection problem with uncertain time-horizon and stochastic cash flow in Markov regime-switching market. The random returns of risky assets amount the all depend on states market which are assumed to follow discrete-time chain. Based conditional distribution caused by exogenous factors, we construct more general investment model. Within game theoretic framework, derive equilibrium strategy value function closed-form applying backward induction approach. In addition, show efficient frontier discuss some degenerate cases. Finally, numerical examples sensitivity analysis presented illustrate frontiers effects as well frontier.