Mean-variance portfolio selection with dynamic attention behavior in a hidden Markov model
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Publication:2097791
Abstract: In this paper, we study closed-loop equilibrium strategies for mean-variance portfolio selection problem in a hidden Markov model with dynamic attention behavior. In addition to the investment strategy, the investor's attention to news is introduced as a control of the accuracy of the news signal process. The objective is to find equilibrium strategies by numerically solving an extended HJB equation by using Markov chain approximation method. An iterative algorithm is constructed and its convergence is established. Numerical examples are also provided to illustrate the results.
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Cited in
(6)- Weak convergence and diffusion approximation of singularly perturbed stochastic differential equation with state-dependent switching
- Cardinality constrained multi-period mean-variance portfolio optimization with regime-switching parameters
- Alpha-maxmin mean-variance reinsurance-investment strategy under negative risk dependence between two markets
- A note on numerical methods for mean-variance portfolio selection with dynamic attention behavior in a hidden Markov model
- Optimal attention allocation: picking alpha or betting on beta?
- On the uniformly ergodic inheritance of finite Hidden Markov Models
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