Mean-Variance Portfolio Selection under a Non-Markovian Regime-Switching Model: Time-Consistent Solutions

Tianxiao Wang, Zhuo Jin, Jiaqin Wei. Mean-Variance Portfolio Selection under a Non-Markovian Regime-Switching Model: Time-Consistent Solutions. SIAM J. Control and Optimization, 57(5):3249-3271, 2019. [doi]

Abstract

Abstract is missing.