Nash equilibrium strategy for a multi-period mean–variance portfolio selection problem with regime switching
Year of publication: |
2015
|
---|---|
Authors: | Wu, Huiling ; Chen, Hua |
Published in: |
Economic Modelling. - Elsevier, ISSN 0264-9993. - Vol. 46.2015, C, p. 79-90
|
Publisher: |
Elsevier |
Subject: | Mean–variance portfolio selection | Regime switching | Random risk aversion | Nash equilibrium strategy |
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