H2 optimal control
Stochastic Linear Quadratic Regulators with Indefinite Control Weight Costs
SIAM Journal on Control and Optimization
Stock Trading: An Optimal Selling Rule
SIAM Journal on Control and Optimization
Discrete-time Indefinite LQ Control with State and Control Dependent Noises
Journal of Global Optimization
Indefinite Stochastic Linear Quadratic Control with Markovian Jumps in Infinite Time Horizon
Journal of Global Optimization
Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model
SIAM Journal on Control and Optimization
Fuzzy multi period portfolio selection with different rates for borrowing and lending
Applied Soft Computing
Automatica (Journal of IFAC)
A risk index model for multi-period uncertain portfolio selection
Information Sciences: an International Journal
Fuzzy multi-period portfolio selection optimization models using multiple criteria
Automatica (Journal of IFAC)
Automatica (Journal of IFAC)
Hi-index | 22.15 |
In this paper, we deal with a generalized multi-period mean-variance portfolio selection problem with market parameters subject to Markov random regime switchings. Problems of this kind have been recently considered in the literature for control over bankruptcy, for cases in which there are no jumps in market parameters (see [Zhu, S. S., Li, D., & Wang, S. Y. (2004). Risk control over bankruptcy in dynamic portfolio selection: A generalized mean variance formulation. IEEE Transactions on Automatic Control, 49, 447-457]). We present necessary and sufficient conditions for obtaining an optimal control policy for this Markovian generalized multi-period mean-variance problem, based on a set of interconnected Riccati difference equations, and on a set of other recursive equations. Some closed formulas are also derived for two special cases, extending some previous results in the literature. We apply the results to a numerical example with real data for risk control over bankruptcy in a dynamic portfolio selection problem with Markov jumps selection problem.