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Mean–variance portfolio selection with dynamic attention behavior in a hidden Markov model by Zhang, Yu (author);Jin, Zhuo (author);Wei, Jiaqin (author);Yin, George (author) is a Engineering article available to read on EtoBox.

What is Mean–variance portfolio selection with dynamic attention behavior in a hidden Markov model about?

In this paper, we study closed-loop equilibrium strategies for mean–variance portfolio selection problems in a hidden Markov model with dynamic attention behavior. In addition to the investment strategy, the investor’s attention to news is introduced as a control of the accuracy of the news signal process. The objective is to find equilibrium strategies by numerically solving an extended HJB equation by using Markov chain approximation method. An iterative algorithm is constructed and its convergence is established. Numerical examples are provided to illustrate the results.

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Author

Zhang, Yu (author);Jin, Zhuo (author);Wei, Jiaqin (author);Yin, George (author)

Publisher

Elsevier BV

Published

2022

Language

EN

Field

Engineering (Physical Sciences)