Multi-period mean-variance portfolio selection with Markov regime switching and uncertain time-horizon |
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Authors: | Huiling Wu Zhongfei Li |
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Institution: | 1.School of Mathematics and Computational Science,Sun Yat-sen University,Guangzhou,China;2.Lingnan (University) College,Sun Yat-sen University,Guangzhou,China |
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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. |
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Keywords: | |
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