شماره ركورد كنفرانس :
4255
عنوان مقاله :
Mean-variance portfolio optimization when exit probability depends on the past of the market
پديدآورندگان :
KEYKHAEI REZA r.keykhaei@math.iut.ac.ir assistant professor
تعداد صفحه :
5
كليدواژه :
multi , period mean , variance portfolio selection‎ , ‎regime switching‎ , ‎uncertain exit , time‎ , ‎dynamic programming‎.
سال انتشار :
1395
عنوان كنفرانس :
چهارمين همايش رياضيات و علوم انساني
زبان مدرك :
انگليسي
چكيده فارسي :
‎In this paper‎, ‎we deal with a multi-period mean-variance portfolio selection problem with uncertain‎ ‎exit-time in Markov regime switching markets‎, ‎where the probability of exiting at‎ ‎each time depends on the past of the market states‎. ‎Applying Lagrange duality‎ ‎method‎, ‎we derive explicit closed-form expressions for the optimal investment‎ ‎strategy and the efficient frontier‎.
كشور :
ايران
لينک به اين مدرک :
بازگشت