| Texto completo | |
| Autor(es): |
Araujo, Michael Viriato
;
do Valle Costa, Oswaldo Luiz
;
IEEE
Número total de Autores: 3
|
| Tipo de documento: | Artigo Científico |
| Fonte: | 2006 AMERICAN CONTROL CONFERENCE, VOLS 1-12; v. 1-12, p. 2-pg., 2006-01-01. |
| Resumo | |
In this paper, a discrete-time version of the multiperiod mean-variance portfolio selection problem in which the market parameters are subjected to a random regime switching is investigated. We analitically derive an optimal control policy for this mean-variance formulation in a closed form. Such a poticy can be obtained by the solution of a set of interconnected Riccatti difference equations. Additionaly, an explicit expression for the efficient frontier corresponding to this control law is identified and a numerical example with brazilian assets is presented. (AU) | |
| Processo FAPESP: | 03/06736-7 - Controle e filtragem de sistemas estocásticos markovianos com saltos nos parâmetros |
| Beneficiário: | João Bosco Ribeiro do Val |
| Modalidade de apoio: | Auxílio à Pesquisa - Temático |