Journal article

Mean-Variance Portfolio Selection under a Non-Markovian Regime-Switching Model: Time-Consistent Solutions

Tianxiao Wang, Zhuo Jin, Jiaqin Wei

SIAM Journal on Control and Optimization | Society for Industrial and Applied Mathematics | Published : 2019

Abstract

This paper aims to find the time-consistent equilibrium strategy for a mean-variance portfolio selection problem under a non-Markovian regime-switching model, in which the coefficients are adapted to the filtration generated by a Markov chain. By introducing and investigating systems of coupled backward stochastic differential equations driven by the Markov chain, we obtain feedback representations of both open-loop equilibrium strategies and linear closed-loop equilibrium strategies. We also make further comparisons with the existing literature and reveal several interesting facts arising from the non-Markovian regime-switching model.

University of Melbourne Researchers

Grants

Awarded by 111 Project


Awarded by National Natural Science Foundation of China


Awarded by Research Grants Council of the Hong Kong Special Administrative Region


Funding Acknowledgements

This research was supported by the 111 Project (B14019), the National Natural Science Foundation of China (11601157, 11571113, 11231007, 11401404, and 11471231), the Fundamental Research Funds for the Central Universities, and the Research Grants Council of the Hong Kong Special Administrative Region (project 17330816).