论文标题
在隐藏的马尔可夫模型中选择具有动态注意行为的均值变化投资组合选择
Mean-variance portfolio selection with dynamic attention behavior in a hidden Markov model
论文作者
论文摘要
在本文中，我们研究了具有动态注意力行为的隐藏马尔可夫模型中均值变化投资组合选择问题的闭环平衡策略。除了投资策略外，投资者对新闻的关注也被引入，以控制新闻信号过程的准确性。目的是通过使用Markov链近似方法来数值求解扩展的HJB方程来找到平衡策略。构建了一种迭代算法，并建立了其收敛性。还提供了数值示例来说明结果。
In this paper, we study closed-loop equilibrium strategies for mean-variance portfolio selection problem 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 also provided to illustrate the results.
