Abstract

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.

Talk to us

Join us for a 30 min session where you can share your feedback and ask us any queries you have

Schedule a call

Disclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.