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

Oswaldo L. V. Costa; Michael V. Araujo

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(Reference retrieved automatically from SciELO through information on FAPESP grant and its corresponding number as mentioned in the publication by the authors.)

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

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Author(s):	Oswaldo L. V. Costa ^[1] ; Michael V. Araujo ^[2] Total Authors: 2
Affiliation:	^[1] Universidade de São Paulo. Escola Politécnica. Departamento de Engenharia de Telecomunicações e Controle - Brasil ^[2] Universidade de São Paulo. Escola Politécnica. Departamento de Engenharia de Telecomunicações e Controle - Brasil Total Affiliations: 2
Document type:	Journal article
Source:	Sba : Controle & Automação; v. 19, n. 2, p. 138-146, 2008-06-00.
Abstract
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. (AU)

FAPESP's process:	03/06736-7 - Control and filtering of Markovian jumping parameters stochastic systems
Grantee:	João Bosco Ribeiro do Val
Support Opportunities:	Research Projects - Thematic Grants

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