Continuous-time mean-variance portfolio selection under non-Markovian regime-switching model with random horizon (Q6076813)
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scientific article; zbMATH DE number 7741530
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Continuous-time mean-variance portfolio selection under non-Markovian regime-switching model with random horizon |
scientific article; zbMATH DE number 7741530 |
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Continuous-time mean-variance portfolio selection under non-Markovian regime-switching model with random horizon (English)
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22 September 2023
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backward stochastic differential equation
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mean-variance portfolio selection
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random time horizon
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stochastic LQ control
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