Research Communication | Open Access
Volume 2021 | Communication ID 181
Volume 2021 | Communication ID 181
| Continuous-Time Mean-Variance Portfolio Selection with Regime Switching Financial Market: Time-Consistent Solution |
Nour El Houda Bouaicha, Farid Chighoub
Received |
Accepted |
Published |
January 30, 2021 |
February 15, 2021 |
March 15, 2021 |
Abstract: In this presentation, we study the optimal time consistent strategies for the mean-variance portfolio selection problem with a state depend risque aversion modulated by Markov regime-switching. We consider that the price processes of risky stocks are described by a jump-diffusion SDE. We formulate the problem in the game-theoretic framework . By applying the stochastic maximum principle approach, we derive necessary and sufficient condition for equilibrium. An explicit representation of the equilibrium solution is derived as well as its uniqueness. Moreover, some particular cases of our ...