Discrete-time mean-variance portfolio optimization with Markov switching parameters

被引：2
|
作者：
Araujo, Michael Viriato [1 ]
do Valle Costa, Oswaldo Luiz [1 ]
机构：
[1] Univ Sao Paulo, Escola Politecnica, BR-05508900 Sao Paulo, Brazil
来源：
2006 AMERICAN CONTROL CONFERENCE, VOLS 1-12 | 2006年 / 1-12卷
基金：
巴西圣保罗研究基金会;
关键词：
D O I：
10.1109/ACC.2006.1655475
中图分类号：
TP [自动化技术、计算机技术];
学科分类号：
0812 ;
摘要：
In this paper, a discrete-time version of the multiperiod mean-variance portfolio selection problem in which the market parameters are subjected to a random regime switching is investigated. We analitically derive an optimal control policy for this mean-variance formulation in a closed form. Such a poticy can be obtained by the solution of a set of interconnected Riccatti difference equations. Additionaly, an explicit expression for the efficient frontier corresponding to this control law is identified and a numerical example with brazilian assets is presented.
引用
收藏
页码：917 / +
页数：2
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