Multi-period mean-variance portfolio optimization with Markov switching parameters

被引:1
作者
Departamento de Engenharia de Telecomunicações e Controle, Escola Politécnica, Universidade de São Paulo, CEP: 05508-900, São Paulo, SP, Brazil [1 ]
机构
[1] Departamento de Engenharia de Telecomunicações e Controle, Escola Politécnica, Universidade de São Paulo, CEP: 05508-900, São Paulo, SP
来源
Controle y Automacao | 2008年 / 19卷 / 02期
关键词
Markov chain; Multi-period mean-variance; Optimal control; Portfolio optimization; Stochastic systems;
D O I
10.1590/S0103-17592008000200003
中图分类号
学科分类号
摘要
In this paper we deal with a multi-period mean-variance portfolio selection problem with the market parameters subject to Markov random regime switching. We analytically derive an optimal control policy for this mean-variance formulation in a closed form. Such a policy is obtained from a set of interconnected Riccati difference equations. Additionally, an explicit expression for the efficient frontier corresponding to this control law is identified and numerical examples are presented.
引用
收藏
页码:138 / 146
页数:8
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