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.
Accepté le :
DOI : 10.1051/ro/2018050
Mots-clés : Multi-period mean-variance portfolio selection, regime-switching, uncertain exit-time, Lagrange duality theorem, dynamic programming
@article{RO_2019__53_4_1171_0,
author = {Keykhaei, Reza},
title = {Mean-variance portfolio selection with an uncertain exit-time in a regime-switching market},
journal = {RAIRO - Operations Research - Recherche Op\'erationnelle},
pages = {1171--1186},
publisher = {EDP-Sciences},
volume = {53},
number = {4},
year = {2019},
doi = {10.1051/ro/2018050},
mrnumber = {3986365},
zbl = {1461.90163},
language = {en},
url = {http://www.numdam.org/articles/10.1051/ro/2018050/}
}
TY - JOUR AU - Keykhaei, Reza TI - Mean-variance portfolio selection with an uncertain exit-time in a regime-switching market JO - RAIRO - Operations Research - Recherche Opérationnelle PY - 2019 SP - 1171 EP - 1186 VL - 53 IS - 4 PB - EDP-Sciences UR - http://www.numdam.org/articles/10.1051/ro/2018050/ DO - 10.1051/ro/2018050 LA - en ID - RO_2019__53_4_1171_0 ER -
%0 Journal Article %A Keykhaei, Reza %T Mean-variance portfolio selection with an uncertain exit-time in a regime-switching market %J RAIRO - Operations Research - Recherche Opérationnelle %D 2019 %P 1171-1186 %V 53 %N 4 %I EDP-Sciences %U http://www.numdam.org/articles/10.1051/ro/2018050/ %R 10.1051/ro/2018050 %G en %F RO_2019__53_4_1171_0
Keykhaei, Reza. Mean-variance portfolio selection with an uncertain exit-time in a regime-switching market. RAIRO - Operations Research - Recherche Opérationnelle, Tome 53 (2019) no. 4, pp. 1171-1186. doi : 10.1051/ro/2018050. http://www.numdam.org/articles/10.1051/ro/2018050/
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