论文标题
在非马克维亚政权开关模型下，连续时间均值变化投资组合选择随机地平线
Continuous-time mean-variance portfolio selection under non-Markovian regime-switching model with random horizon
论文作者
论文摘要
在本文中，我们考虑了连续的均值变化投资组合选择，并进行了制度开关和随机范围。与以前的作品不同，资产的动态是由非马克维亚政权开关模型描述的，从马尔可夫链和布朗尼运动共同生成的过滤中，所有市场参数都是可以预测的。我们将此问题提出为限制的随机线性季度最佳控制问题。假定马尔可夫链独立于布朗运动。因此市场不完整。我们得出了最佳投资组合和有效边界的封闭形式表达式。所有结果都不同于固定时间范围中问题的结果。
In this paper, we consider 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. We formulate this problem as a constrained stochastic linear-quadratic optimal control problem. The Markov chain is assumed to be independent of the Brownian motion. So the market is incomplete. We 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.
