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

Tian Chen, Ruyi Liu, Zhen Wu. Continuous-Time Mean-Variance Portfolio Selection Under Non-Markovian Regime-Switching Model with Random Horizon. J. Systems Science & Complexity, 36(2):457-479, April 2023. [doi]

Abstract

Abstract is missing.