Multi-period mean-variance portfolio optimization with markov switching parameters
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.
Saved in:
| Main Authors: | , |
|---|---|
| Format: | Digital revista |
| Language: | English |
| Published: |
Sociedade Brasileira de Automática
2008
|
| Online Access: | http://old.scielo.br/scielo.php?script=sci_arttext&pid=S0103-17592008000200003 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| Summary: | 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. |
|---|