Portfolio optimization in stochastic markets |
| |
Authors: | U Çakmak S Özekici |
| |
Institution: | 1. School of Industrial and Systems Engineering, Georgia Institute of Technology, Atlanta, GA, 30332-0205, USA 2. Department of Industrial Engineering, Ko? University, 34450, Sar?yer-?stanbul, Turkey
|
| |
Abstract: | We consider a multiperiod mean-variance model where the model parameters change according to a stochastic market. The mean
vector and covariance matrix of the random returns of risky assets all depend on the state of the market during any period
where the market process is assumed to follow a Markov chain. Dynamic programming is used to solve an auxiliary problem which,
in turn, gives the efficient frontier of the mean-variance formulation. An explicit expression is obtained for the efficient
frontier and an illustrative example is given to demonstrate the application of the procedure. |
| |
Keywords: | Portfolio optimization Stochastic market Dynamic programming Mean-variance models Efficient frontier |
本文献已被 SpringerLink 等数据库收录! |
|