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

被引：1

作者：

Costa, Oswaldo L. V. ^{[1
]}

Araujo, Michael V. ^{[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

页码：138 / 146

页数：8

共 11 条

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