English (United Kingdom)

https://curated-unify.zendy.io/wp-json/zendy-region/v1/featured_content/oa?rat=en

https://curated-unify.zendy.io/wp-json/zendy-region/v1/highlighted_journal/

Global: Zendy Plus annual

Presents the access of premium content as premium feature

Premium Content

Presents the keyphrase highlighting as premium feature

Keyphrase Highlighting

Presents the summarisation as premium feature

Summarisation

Insights

Presents the pdf analysis as premium feature

PDF Analysis

Presents the zaia usage as premium feature

ZAIA

Global: Zendy Plus monthly

Global: Zendy Tools annual

Global: Zendy Tools monthly

Global: Zendy Free Plan

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.

journal of industrial and management optimization

Open-loop equilibrium strategy for mean-variance Portfolio selection with investment constraints in a non-Markovian regime-switching jump-diffusion model