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Multi-period mean-variance portfolio selection with Markov regime switching and uncertain time-horizon

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Abstract

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.

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Author information

Authors and Affiliations

  1. School of Mathematics and Computational Science, Sun Yat-sen University, Guangzhou, 510275, China

    Huiling Wu

  2. Lingnan (University) College, Sun Yat-sen University, Guangzhou, 510275, China

    Zhongfei Li

Authors
  1. Huiling Wu
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  2. Zhongfei Li
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Corresponding author

Correspondence to Zhongfei Li.

Additional information

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.

This paper was recommended for publication by Editor Shouyang WANG.

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Wu, H., Li, Z. Multi-period mean-variance portfolio selection with Markov regime switching and uncertain time-horizon. J Syst Sci Complex 24, 140–155 (2011). https://doi.org/10.1007/s11424-011-9184-z

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  • DOI: https://doi.org/10.1007/s11424-011-9184-z

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