Multi-period mean-variance portfolio selection with Markov regime switching and uncertain time-horizon

被引：0

作者：

Huiling Wu

Zhongfei Li

机构：

[1] Sun Yat-sen University,School of Mathematics and Computational Science

[2] Sun Yat-sen University,Lingnan (University) College

来源：

Journal of Systems Science and Complexity | 2011年 / 24卷

关键词：

Dynamic programming; Markov regime switching; mean-variance; portfolio selection; uncertain time-horizon;

D O I：

暂无

中图分类号：

学科分类号：

摘要：

This paper investigates a multi-period mean-variance portfolio selection with regime switching and uncertain exit time. The returns of assets all depend on the states of the stochastic market which are assumed to follow a discrete-time Markov chain. The authors derive the optimal strategy and the efficient frontier of the model in closed-form. Some results in the existing literature are obtained as special cases of our results.

引用

页码：140 / 155

页数：15

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