Article Contents
Article Contents

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

• *Corresponding author: Ishak Alia
• 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.

Mathematics Subject Classification: Primary: 93E20, 60H30, 93E99, 60H10.

 Citation:

• Figure 1.  The investment ratio in the two regimes with $\mu = 1.2$

Figure 2.  The impact of the parameter $\mu$ on the investment ratio in regime 1

Figure 3.  The impact of the parameter $\mu$ on the investment ratio in regime 2

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