Mean-Variance Portfolio Selection under a Non-Markovian Regime-Switching Model: Time-Consistent Solutions (Q5234665): Difference between revisions
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Revision as of 20:24, 5 March 2024
scientific article; zbMATH DE number 7111138
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Mean-Variance Portfolio Selection under a Non-Markovian Regime-Switching Model: Time-Consistent Solutions |
scientific article; zbMATH DE number 7111138 |
Statements
Mean-Variance Portfolio Selection under a Non-Markovian Regime-Switching Model: Time-Consistent Solutions (English)
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30 September 2019
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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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