{"title":"具有马尔可夫切换参数的离散时间均值方差投资组合优化","authors":"M. V. Araujo, O. Costa","doi":"10.1109/ACC.2006.1655475","DOIUrl":null,"url":null,"abstract":"In this paper, a discrete-time version of the multi-period mean-variance portfolio selection problem in which the market parameters are subjected to a random regime switching is investigated. We analytically derive an optimal control policy for this mean-variance formulation in a closed form. Such a policy can be obtained by the solution of a set of interconnected Riccatti difference equations. Additionally, an explicit expression for the efficient frontier corresponding to this control law is identified and a numerical example with Brazilian assets is presented","PeriodicalId":265903,"journal":{"name":"2006 American Control Conference","volume":"76 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2006-06-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"4","resultStr":"{\"title\":\"Discrete-time mean-variance portfolio optimization with Markov switching parameters\",\"authors\":\"M. V. Araujo, O. Costa\",\"doi\":\"10.1109/ACC.2006.1655475\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"In this paper, a discrete-time version of the multi-period mean-variance portfolio selection problem in which the market parameters are subjected to a random regime switching is investigated. We analytically derive an optimal control policy for this mean-variance formulation in a closed form. Such a policy can be obtained by the solution of a set of interconnected Riccatti difference equations. Additionally, an explicit expression for the efficient frontier corresponding to this control law is identified and a numerical example with Brazilian assets is presented\",\"PeriodicalId\":265903,\"journal\":{\"name\":\"2006 American Control Conference\",\"volume\":\"76 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2006-06-14\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"4\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"2006 American Control Conference\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.1109/ACC.2006.1655475\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"2006 American Control Conference","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1109/ACC.2006.1655475","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
Discrete-time mean-variance portfolio optimization with Markov switching parameters
In this paper, a discrete-time version of the multi-period mean-variance portfolio selection problem in which the market parameters are subjected to a random regime switching is investigated. We analytically derive an optimal control policy for this mean-variance formulation in a closed form. Such a policy can be obtained by the solution of a set of interconnected Riccatti difference equations. Additionally, an explicit expression for the efficient frontier corresponding to this control law is identified and a numerical example with Brazilian assets is presented
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