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.
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| Main Authors: | , |
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| Format: | Digital revista |
| Language: | English |
| Published: |
Sociedade Brasileira de Automática
2008
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| Online Access: | http://old.scielo.br/scielo.php?script=sci_arttext&pid=S0103-17592008000200003 |
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