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