A generalized multi-period mean-variance portfolio optimization with Markov switching parameters

@article{Costa2008AGM,
  title={A generalized multi-period mean-variance portfolio optimization with Markov switching parameters},
  author={Oswaldo Luiz V. Costa and Michael V. Araujo},
  journal={Automatica},
  year={2008},
  volume={44},
  pages={2487-2497}
}
In this paper we deal with a multi-period mean-variance port folio 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 correspondi ng to this control law is identified and numerical examples are pre sented. 
Highly Cited
This paper has 39 citations. REVIEW CITATIONS
24 Citations
14 References
Similar Papers

Citations

Publications citing this paper.
Showing 1-10 of 24 extracted citations

References

Publications referenced by this paper.
Showing 1-10 of 14 references

Optimal dynamic portfolio selection: Multi-period mean–variance

  • D. Li, W. Ng
  • 2000
Highly Influential
18 Excerpts

A generalized multi - period mean - variance portfolio optimization with Markov switching parameters , Automatica , to appear

  • O. L. V. Costa, M. V. Araujo
  • 2008
2 Excerpts

A generalized multi-period mean-variance portfolio optimization with Markov switching

  • O.L.V. Costa, M. V. Araujo
  • 2008
3 Excerpts

Multiperiod mean-variance optimization with intertemporal restrictions,Journal of Optimization Theory and Applications

  • O.L.V. Costa, R. Nabholz
  • 2007
1 Excerpt

Similar Papers

Loading similar papers…