MULTI-PERIOD MEAN-VARIANCE PORTFOLIO SELECTION WITH MARKOV REGIME SWITCHING AND UNCERTAIN TIME-HORIZON  

作　　者：Huiling WU Zhongfei LI 

机构地区：[1]School of Mathematics and Computational Science, Sun Yat-sen University, Guangzhou 510275, China [2]Corresponding author. Lingnan (University) College, Sun Yat-sen University, Guangzhou 510275, China

出　　处：《Journal of Systems Science & Complexity》2011年第1期140-155,共16页系统科学与复杂性学报（英文版）

基　　金：This research is supported by the National Science Foundation for Distinguished Young Scholars under Grant No. 70825002, the National Natural Science Foundation of China under Grant No. 70518001, and the National Basic Research Program of China 973 Program, under Grant No. 2007CB814902.

摘　　要：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.

关 键 词：Dynamic programming Markov regime switching MEAN-VARIANCE portfolio selection uncertain time-horizon. 

分 类 号：O221.3[理学—运筹学与控制论] TP273.2[理学—数学]