Mean-Variance Portfolio Selection under a Non-Markovian Regime-Switching Model: Time-Consistent Solutions (Q5234665): Difference between revisions

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scientific article; zbMATH DE number 7111138

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English	Mean-Variance Portfolio Selection under a Non-Markovian Regime-Switching Model: Time-Consistent Solutions	scientific article; zbMATH DE number 7111138

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instance of

scholarly article

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title

Mean-Variance Portfolio Selection under a Non-Markovian Regime-Switching Model: Time-Consistent Solutions (English)

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zbMATH Open document ID

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SIAM Journal on Control and Optimization

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publication date

30 September 2019

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full work available at URL

https://epubs.siam.org/doi/pdf/10.1137/18M1186423

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Mathematics Subject Classification ID

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mean-variance

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regime-switching

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open-loop equilibrium strategy

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linear closed-loop equilibrium strategy

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Markov chain

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MaRDI profile type

MaRDI publication profile

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cites work

On time-inconsistent stochastic control in continuous time

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MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE‐DEPENDENT RISK AVERSION

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Markowitz's mean-variance asset-liability management with regime switching: a continuous-time model

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Solutions of Backward Stochastic Differential Equations on Markov Chains

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Comparisons for backward stochastic differential equations on Markov chains and related no-arbitrage conditions

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On Markovian solutions to Markov chain BSDEs

0 references

Time-consistent mean-variance portfolio selection in discrete and continuous time

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The golden rule when preferences are time inconsistent

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Time-Consistent Portfolio Management

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Investment and consumption without commitment

0 references

Q4323296

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On Markov‐modulated Exponential‐affine Bond Price Formulae

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A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle

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Time-Inconsistent Stochastic Linear-Quadratic Control: Characterization and Uniqueness of Equilibrium

0 references

Time-Inconsistent Stochastic Linear--Quadratic Control

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Optimal Dynamic Portfolio Selection: Multiperiod Mean-Variance Formulation

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Quadratic Hedging and Mean-Variance Portfolio Selection with Random Parameters in an Incomplete Market

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Mean-Variance Portfolio Selection with Random Parameters in a Complete Market

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Characterization of optimal feedback for stochastic linear quadratic control problems

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Investment-consumption with regime-switching discount rates

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Q4435813

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Mean-variance asset-liability management problem under non-Markovian regime-switching models

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Risk-minimizing pricing and Esscher transform in a general non-Markovian regime-switching jump-diffusion model

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EXPLICIT SOLUTIONS OF CONSUMPTION-INVESTMENT PROBLEMS IN FINANCIAL MARKETS WITH REGIME SWITCHING

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Open-Loop and Closed-Loop Solvabilities for Stochastic Linear Quadratic Optimal Control Problems

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Equilibrium controls in time inconsistent stochastic linear quadratic problems

0 references

Mean-variance portfolio selection under a non-Markovian regime-switching model

0 references

Time-consistent mean-variance asset-liability management with random coefficients

0 references

Markowitz's mean-variance asset-liability management with regime switching: a time-consistent approach

0 references

Time-inconsistent optimal control problems and the equilibrium HJB equation

0 references

Linear-quadratic optimal control problems for mean-field stochastic differential equations — time-consistent solutions

0 references

Continuous-time mean-variance portfolio selection: a stochastic LQ framework

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Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model

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Sitelinks

Mathematics(1 entry)

mardi Publication:5234665

@@ Property / cites work @@
+On time-inconsistent stochastic control in continuous time
+Normal rank
@@ Property / cites work @@
+MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE‐DEPENDENT RISK AVERSION
+Normal rank
@@ Property / cites work @@
+Markowitz's mean-variance asset-liability management with regime switching: a continuous-time model
+Normal rank
@@ Property / cites work @@
+Solutions of Backward Stochastic Differential Equations on Markov Chains
+Normal rank
@@ Property / cites work @@
+Comparisons for backward stochastic differential equations on Markov chains and related no-arbitrage conditions
+Normal rank
@@ Property / cites work @@
+On Markovian solutions to Markov chain BSDEs
@@ Property / cites work: On Markovian solutions to Markov chain BSDEs / rank @@
+Normal rank
@@ Property / cites work @@
+Time-consistent mean-variance portfolio selection in discrete and continuous time
+Normal rank
@@ Property / cites work @@
+The golden rule when preferences are time inconsistent
+Normal rank
@@ Property / cites work @@
+Time-Consistent Portfolio Management
@@ Property / cites work: Time-Consistent Portfolio Management / rank @@
+Normal rank
@@ Property / cites work @@
+Investment and consumption without commitment
@@ Property / cites work: Investment and consumption without commitment / rank @@
+Normal rank
@@ Property / cites work @@
+Q4323296
@@ Property / cites work: Q4323296 / rank @@
+Normal rank
@@ Property / cites work @@
+On Markov‐modulated Exponential‐affine Bond Price Formulae
+Normal rank
@@ Property / cites work @@
+A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
+Normal rank
@@ Property / cites work @@
+Time-Inconsistent Stochastic Linear-Quadratic Control: Characterization and Uniqueness of Equilibrium
+Normal rank
@@ Property / cites work @@
+Time-Inconsistent Stochastic Linear--Quadratic Control
+Normal rank
@@ Property / cites work @@
+Optimal Dynamic Portfolio Selection: Multiperiod Mean-Variance Formulation
+Normal rank
@@ Property / cites work @@
+Quadratic Hedging and Mean-Variance Portfolio Selection with Random Parameters in an Incomplete Market
+Normal rank
@@ Property / cites work @@
+Mean-Variance Portfolio Selection with Random Parameters in a Complete Market
+Normal rank
@@ Property / cites work @@
+Characterization of optimal feedback for stochastic linear quadratic control problems
+Normal rank
@@ Property / cites work @@
+Investment-consumption with regime-switching discount rates
+Normal rank
@@ Property / cites work @@
+Q4435813
@@ Property / cites work: Q4435813 / rank @@
+Normal rank
@@ Property / cites work @@
+Mean-variance asset-liability management problem under non-Markovian regime-switching models
+Normal rank
@@ Property / cites work @@
+Risk-minimizing pricing and Esscher transform in a general non-Markovian regime-switching jump-diffusion model
+Normal rank
@@ Property / cites work @@
+EXPLICIT SOLUTIONS OF CONSUMPTION-INVESTMENT PROBLEMS IN FINANCIAL MARKETS WITH REGIME SWITCHING
+Normal rank
@@ Property / cites work @@
+Open-Loop and Closed-Loop Solvabilities for Stochastic Linear Quadratic Optimal Control Problems
+Normal rank
@@ Property / cites work @@
+Equilibrium controls in time inconsistent stochastic linear quadratic problems
+Normal rank
@@ Property / cites work @@
+Mean-variance portfolio selection under a non-Markovian regime-switching model
+Normal rank
@@ Property / cites work @@
+Time-consistent mean-variance asset-liability management with random coefficients
+Normal rank
@@ Property / cites work @@
+Markowitz's mean-variance asset-liability management with regime switching: a time-consistent approach
+Normal rank
@@ Property / cites work @@
+Time-inconsistent optimal control problems and the equilibrium HJB equation
+Normal rank
@@ Property / cites work @@
+Linear-quadratic optimal control problems for mean-field stochastic differential equations — time-consistent solutions
+Normal rank
@@ Property / cites work @@
+Continuous-time mean-variance portfolio selection: a stochastic LQ framework
+Normal rank
@@ Property / cites work @@
+Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model
+Normal rank