Volume 53, Number 4, October 2019
|Page(s)||1171 - 1186|
|Published online||29 July 2019|
Mean-variance portfolio selection with an uncertain exit-time in a regime-switching market
Department of Mathematics, University of Khansar, Khansar, Iran
* Corresponding author: firstname.lastname@example.org
Accepted: 19 June 2018
In this paper, we deal with multi-period mean-variance portfolio selection problems with an exogenous uncertain exit-time in a regime-switching market. The market is modelled by a non-homogeneous Markov chain in which the random returns of assets depend on the states of the market and investment time periods. Applying the Lagrange duality method, we derive explicit closed-form expressions for the optimal investment strategies and the efficient frontier. Also, we show that some known results in the literature can be obtained as special cases of our results. A numerical example is provided to illustrate the results.
Mathematics Subject Classification: 90C39 / 91G10
Key words: Multi-period mean-variance portfolio selection / regime-switching / uncertain exit-time / Lagrange duality theorem / dynamic programming
© EDP Sciences, ROADEF, SMAI 2019
Current usage metrics show cumulative count of Article Views (full-text article views including HTML views, PDF and ePub downloads, according to the available data) and Abstracts Views on Vision4Press platform.
Data correspond to usage on the plateform after 2015. The current usage metrics is available 48-96 hours after online publication and is updated daily on week days.
Initial download of the metrics may take a while.