Mean-variance portfolio selection with discontinuous prices and random horizon in an incomplete market

2019 ◽  
Vol 63 (7) ◽  
Author(s):  
Haiyang Wang ◽  
Zhen Wu
Keyword(s):  
Portfolio Selection ◽  
Incomplete Market ◽  
Random Horizon ◽  
Mean Variance Portfolio ◽  
Mean Variance

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

2021 ◽  
Vol 0 (0) ◽  
Author(s):  
Ishak Alia ◽  
Farid Chighoub
Keyword(s):  
Portfolio Selection ◽  
Regime Switching ◽  
Optimal Time ◽  
Uniqueness Results ◽  
State Dependent ◽  
Consistent Solution ◽  
Game Theoretic ◽  
Markov Modulated ◽  
Mean Variance Portfolio ◽  
Mean Variance

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.

scholarly journals Enhancing mean–variance portfolio selection by modeling distributional asymmetries

2016 ◽  
Vol 85 ◽  
pp. 49-72 ◽  
Author(s):  
Rand Kwong Yew Low ◽  
Robert Faff ◽  
Kjersti Aas
Keyword(s):  
Portfolio Selection ◽  
Mean Variance Portfolio ◽  
Mean Variance

Mean–variance portfolio selection of cointegrated assets

2011 ◽  
Vol 35 (8) ◽  
pp. 1369-1385 ◽  
Author(s):  
Mei Choi Chiu ◽  
Hoi Ying Wong
Keyword(s):  
Portfolio Selection ◽  
Mean Variance Portfolio ◽  
Mean Variance ◽  
Selection Of
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