Continuous-Time Mean-Variance Portfolio Selection Under Non-Markovian Regime-Switching Model with Random Horizon  

作　　者：CHEN Tian LIU Ruyi WU Zhen 

机构地区：[1]Zhongtai Securities Institute for Financial Studies,Shandong University,Jinan 250100,China [2]School of Mathematics and Statistics,University of Sydney,NSW 2006,Australia [3]School of Mathematics,Shandong University,Jinan 250100,China

出　　处：《Journal of Systems Science & Complexity》2023年第2期457-479,共23页系统科学与复杂性学报（英文版）

基　　金：supported by the Natural Science Foundation of China under Grant Nos.11831010,12001319 and 61961160732;Shandong Provincial Natural Science Foundation under Grant Nos.ZR2019ZD42 and ZR2020QA025;The Taishan Scholars Climbing Program of Shandong under Grant No.TSPD20210302;Ruyi Liu acknowledges the Discovery Projects of Australian Research Council(DP200101550);the China Postdoctoral Science Foundation(2021TQ0196)。

摘　　要：This paper considers a continuous-time mean-variance portfolio selection with regime-switching and random horizon.Unlike previous works,the dynamic of assets are described by non-Markovian regime-switching models in the sense that all the market parameters are predictable with respect to the filtration generated jointly by Markov chain and Brownian motion.The Markov chain is assumed to be independent of Brownian motion,thus the market is incomplete.The authors formulate this problem as a constrained stochastic linear-quadratic optimal control problem.The authors derive closed-form expressions for both the optimal portfolios and the efficient frontier.All the results are different from those in the problem with fixed time horizon.

关 键 词：Backward stochastic differential equation mean-variance portfolio selection random time horizon stochastic LQ control 

分 类 号：F830.9[经济管理—金融学] O211.6[理学—概率论与数理统计]