This paper studies the mean-variance portfolio selection under the assumption that the market state is modulated by a hidden Markov chain which is unobservable to investors. We employ a game-theoretic formulation to address the time-inconsistency arising in mean-variance analysis for portfolio...

In this paper, we study a continuous time structural asset value model for two correlated firms using a two-dimensional Brownian motion. We consider the situation of incomplete information, where the information set available to the market participants includes the default time of each firm and...