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]

Authors

Tian Chen

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Ruyi Liu

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Zhen Wu

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