Continuous-time mean-variance portfolio selection with regime-switching financial market: time-consistent solution
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Publication:2022311
DOI10.1515/rose-2020-2050zbMath1461.91265MaRDI QIDQ2022311
Publication date: 28 April 2021
Published in: Random Operators and Stochastic Equations (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1515/rose-2020-2050
time inconsistency; equilibrium strategy; investment strategy; mean-variance utility; Markov regime-switching financial market