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
كليدواژه :
multi , period mean , variance portfolio selection , regime switching , uncertain exit , time , dynamic programming.
عنوان كنفرانس :
چهارمين همايش رياضيات و علوم انساني
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.