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]
@article{ChenLW23,
title = {Continuous-Time Mean-Variance Portfolio Selection Under Non-Markovian Regime-Switching Model with Random Horizon},
author = {Tian Chen and Ruyi Liu and Zhen Wu},
year = {2023},
month = {April},
doi = {10.1007/s11424-023-1272-3},
url = {https://doi.org/10.1007/s11424-023-1272-3},
researchr = {https://researchr.org/publication/ChenLW23},
cites = {0},
citedby = {0},
journal = {J. Systems Science & Complexity},
volume = {36},
number = {2},
pages = {457-479},
}