Multi-period mean-variance portfolio optimization with markov switching parameters
Multi-period mean-variance portfolio optimization with markov switching parameters
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DOI：
10.1590/s0103-17592008000200003
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发表时间：
2008-06
期刊：
影响因子：
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通讯作者：
O. Costa;M. V. Araujo
中科院分区：
文献类型：
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作者：
O. Costa;M. V. Araujo
本文研究了市场参数服从马尔可夫随机状态转换的多期均值-方差投资组合选择问题。我们解析地推导出一个最优控制策略的均值-方差制定在一个封闭的形式。这样的政策是从一组相互关联的Riccati差分方程。此外，该控制律对应的有效前沿的显式表达式被确定，并给出了数值例子。
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.