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• W4225475710 abstract "This paper is devoted to study the open-loop equilibrium strategy for a mean-variance portfolio problem with investment constraints in a non-Markovian regime-switching jump-diffusion model. Specially, the investment strategies are constrained in a closed convex cone and all coefficients in the model are stochastic processes adapted to the filtration generated by a Markov chain. First, we provide a necessary and sufficient condition for an equilibrium strategy, which involves a system of forward and backward stochastic differential equations (FBSDEs, for short). Second, by solving these FBSDEs, we obtain a feedback representation of the equilibrium strategy. Third, we prove a theorem ensuring the almost everywhere uniqueness of the equilibrium solution. Finally, the results are applied to solve an example of the Markovian regime-switching model." @default.
• W4225475710 created "2022-05-05" @default.
• W4225475710 creator A5008598981 @default.
• W4225475710 creator A5064107021 @default.
• W4225475710 date "2023-01-01" @default.
• W4225475710 modified "2023-09-26" @default.
• W4225475710 title "Open-loop equilibrium strategy for mean-variance Portfolio selection with investment constraints in a non-Markovian regime-switching jump-diffusion model" @default.
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• W4225475710 doi "https://doi.org/10.3934/jimo.2022048" @default.
• W4225475710 hasPublicationYear "2023" @default.
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