Multi-period mean-variance portfolio optimization with markov switching parameters

Detalhes bibliográficos
Autor(a) principal: Costa,Oswaldo L. V.
Data de Publicação: 2008
Outros Autores: Araujo,Michael V.
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Sba: Controle & Automação Sociedade Brasileira de Automatica
Texto Completo: http://old.scielo.br/scielo.php?script=sci_arttext&pid=S0103-17592008000200003
Resumo: 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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spelling Multi-period mean-variance portfolio optimization with markov switching parametersoptimal controlMarkov chainstochastic systemsportfolio optimizationmulti-period mean-varianceIn 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.Sociedade Brasileira de Automática2008-06-01info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersiontext/htmlhttp://old.scielo.br/scielo.php?script=sci_arttext&pid=S0103-17592008000200003Sba: Controle & Automação Sociedade Brasileira de Automatica v.19 n.2 2008reponame:Sba: Controle & Automação Sociedade Brasileira de Automaticainstname:Sociedade Brasileira de Automática (SBA)instacron:SBA10.1590/S0103-17592008000200003info:eu-repo/semantics/openAccessCosta,Oswaldo L. V.Araujo,Michael V.eng2008-07-21T00:00:00Zoai:scielo:S0103-17592008000200003Revistahttps://www.sba.org.br/revista/PUBhttps://old.scielo.br/oai/scielo-oai.php||revista_sba@fee.unicamp.br1807-03450103-1759opendoar:2008-07-21T00:00Sba: Controle & Automação Sociedade Brasileira de Automatica - Sociedade Brasileira de Automática (SBA)false
dc.title.none.fl_str_mv Multi-period mean-variance portfolio optimization with markov switching parameters
title Multi-period mean-variance portfolio optimization with markov switching parameters
spellingShingle Multi-period mean-variance portfolio optimization with markov switching parameters
Costa,Oswaldo L. V.
optimal control
Markov chain
stochastic systems
portfolio optimization
multi-period mean-variance
title_short Multi-period mean-variance portfolio optimization with markov switching parameters
title_full Multi-period mean-variance portfolio optimization with markov switching parameters
title_fullStr Multi-period mean-variance portfolio optimization with markov switching parameters
title_full_unstemmed Multi-period mean-variance portfolio optimization with markov switching parameters
title_sort Multi-period mean-variance portfolio optimization with markov switching parameters
author Costa,Oswaldo L. V.
author_facet Costa,Oswaldo L. V.
Araujo,Michael V.
author_role author
author2 Araujo,Michael V.
author2_role author
dc.contributor.author.fl_str_mv Costa,Oswaldo L. V.
Araujo,Michael V.
dc.subject.por.fl_str_mv optimal control
Markov chain
stochastic systems
portfolio optimization
multi-period mean-variance
topic optimal control
Markov chain
stochastic systems
portfolio optimization
multi-period mean-variance
description 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.
publishDate 2008
dc.date.none.fl_str_mv 2008-06-01
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://old.scielo.br/scielo.php?script=sci_arttext&pid=S0103-17592008000200003
url http://old.scielo.br/scielo.php?script=sci_arttext&pid=S0103-17592008000200003
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv 10.1590/S0103-17592008000200003
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv text/html
dc.publisher.none.fl_str_mv Sociedade Brasileira de Automática
publisher.none.fl_str_mv Sociedade Brasileira de Automática
dc.source.none.fl_str_mv Sba: Controle & Automação Sociedade Brasileira de Automatica v.19 n.2 2008
reponame:Sba: Controle & Automação Sociedade Brasileira de Automatica
instname:Sociedade Brasileira de Automática (SBA)
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instname_str Sociedade Brasileira de Automática (SBA)
instacron_str SBA
institution SBA
reponame_str Sba: Controle & Automação Sociedade Brasileira de Automatica
collection Sba: Controle & Automação Sociedade Brasileira de Automatica
repository.name.fl_str_mv Sba: Controle & Automação Sociedade Brasileira de Automatica - Sociedade Brasileira de Automática (SBA)
repository.mail.fl_str_mv ||revista_sba@fee.unicamp.br
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