MULTI-PERIOD MEAN-VARIANCE PORTFOLIO OPTIMIZATION IN A REGIME-SWITCHING MARKET WHEN EXIT PROBABILITY DEPENDS ON THE PAST OF THE MARKET
کد مقاله : 1122-FEMATH (R1)
نویسندگان:
رضا کیخایی *
دانشکده ریاضی و کامپیوتر خوانسار
چکیده مقاله:
In this paper, we deal with a multi-period mean-variancenportfolio selection problem with uncertain exit-time in Markovnregime switching markets, where the probability of exiting at eachntime depends on the past of the market states. Applying Lagrangenduality method, we derive explicit closed-form expressions for thenoptimal investment strategy and the efficient frontier.nnIn this paper, we deal with a multi-period mean-variancenportfolio selection problem with uncertain exit-time in Markovnregime switching markets, where the probability of exiting at eachntime depends on the past of the market states. Applying Lagrangenduality method, we derive explicit closed-form expressions for thenoptimal investment strategy and the efficient frontier.nnIn this paper, we deal with a multi-period mean-variancenportfolio selection problem with uncertain exit-time in Markovnregime switching markets, where the probability of exiting at eachntime depends on the past of the market states. Applying Lagrangenduality method, we derive explicit closed-form expressions for thenoptimal investment strategy and the efficient frontier.
کلیدواژه ها:
multi-period mean-variance portfolio selection, regimenswitching, uncertain exit-time, dynamic programming.
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