MULTI-PERIOD MEAN-VARIANCE PORTFOLIO SELECTION WITH MARKOVREGIME SWITCHING AND UNCERTAIN TIME-HORIZON

Huiling WU;Zhongfei LI

Journal of Systems Science & Complexity ›› 2011, Vol. 24 ›› Issue (1) : 140-155.

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Journal of Systems Science & Complexity ›› 2011, Vol. 24 ›› Issue (1) : 140-155. DOI: 10.1007/s11424-011-9184-z
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MULTI-PERIOD MEAN-VARIANCE PORTFOLIO SELECTION WITH MARKOVREGIME SWITCHING AND UNCERTAIN TIME-HORIZON

  • Huiling WU(1), Zhongfei LI(2)
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Abstract

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.

Key words

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

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Huiling WU , Zhongfei LI. MULTI-PERIOD MEAN-VARIANCE PORTFOLIO SELECTION WITH MARKOVREGIME SWITCHING AND UNCERTAIN TIME-HORIZON. Journal of Systems Science and Complexity, 2011, 24(1): 140-155 https://doi.org/10.1007/s11424-011-9184-z
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