制度转换金融市场下的连续时间均值方差投资选择:时间一致解

IF 0.3 Q4 STATISTICS & PROBABILITY

Random Operators and Stochastic Equations Pub Date : 2021-01-21 DOI:10.1515/rose-2020-2050

I. Alia, F. Chighoub

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引用次数: 1

摘要

摘要研究均值-方差组合选择问题的最优时间一致策略。特别是，我们假设风险股票的价格过程是由制度转换的SDEs描述的。我们考虑了一个马尔可夫调制的状态相关风险规避，并在博弈论框架中阐述了这个问题。然后，通过求解一系列正-倒向随机微分方程，得到平衡解的显式表示和唯一性结果。

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Continuous-time mean-variance portfolio selection with regime-switching financial market: Time-consistent solution

Abstract This paper studies optimal time-consistent strategies for the mean-variance portfolio selection problem. Especially, we assume that the price processes of risky stocks are described by regime-switching SDEs. We consider a Markov-modulated state-dependent risk aversion and we formulate the problem in the game theoretic framework. Then, by solving a flow of forward-backward stochastic differential equations, an explicit representation as well as uniqueness results of an equilibrium solution are obtained.

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来源期刊

Random Operators and Stochastic Equations STATISTICS & PROBABILITY-

CiteScore

0.60

自引率

25.00%

发文量