Continuous-Time Mean-Variance Portfolio Selection Under Non-Markovian Regime-Switching Model with Random Horizon

被引：0

作者：

Tian Chen

Ruyi Liu

Zhen Wu

机构：

[1] Shandong University,Zhongtai Securities Institute for Financial Studies

[2] University of Sydney,School of Mathematics and Statistics

[3] Shandong University,School of Mathematics

来源：

Journal of Systems Science and Complexity | 2023年 / 36卷

关键词：

Backward stochastic differential equation; mean-variance portfolio selection; random time horizon; stochastic LQ control;

D O I：

暂无

中图分类号：

学科分类号：

摘要：

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 regime-switching models in the sense that all the market parameters are predictable with respect to the filtration generated jointly by Markov chain and Brownian motion. The Markov chain is assumed to be independent of Brownian motion, thus the market is incomplete. The authors formulate this problem as a constrained stochastic linear-quadratic optimal control problem. The authors derive closed-form expressions for both the optimal portfolios and the efficient frontier. All the results are different from those in the problem with fixed time horizon.

引用

页码：457 / 479

页数：22

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