"Mean-Variance Portfolio Selection under a Non-Markovian Regime-Switching ..."

Tianxiao Wang, Zhuo Jin, Jiaqin Wei (2019)

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DOI: 10.1137/18M1186423

access: closed

type: Journal Article

metadata version: 2023-03-21

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Tianxiao Wang, Zhuo Jin, Jiaqin Wei:
Mean-Variance Portfolio Selection under a Non-Markovian Regime-Switching Model: Time-Consistent Solutions. SIAM J. Control. Optim. 57(5): 3249-3271 (2019)

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