Optimal mean-variance control for discrete-time linear systems with Markovian jumps and multiplicative noises

Authors:
Oswaldo L. V. Costa;Alexandre de Oliveira
Affiliations:
-;-
Venue:
Automatica (Journal of IFAC)
Year:
2012

Citing 13
Cited 1

H2 optimal control

H2 optimal control
Stochastic Linear Quadratic Regulators with Indefinite Control Weight Costs

SIAM Journal on Control and Optimization
Indefinite Stochastic Linear Quadratic Control and Generalized Differential Riccati Equation

SIAM Journal on Control and Optimization
Markowitz Revisited: Mean-Variance Models in Financial Portfolio Analysis

SIAM Review
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
Collecting commonsense experiences

Proceedings of the 2nd international conference on Knowledge capture
Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model

SIAM Journal on Control and Optimization
State and Mode Estimation for Discrete-Time Jump Markov Systems

SIAM Journal on Control and Optimization
Indefinite quadratic with linear costs optimal control of Markov jump with multiplicative noise systems

Automatica (Journal of IFAC)
A generalized multi-period mean-variance portfolio optimization with Markov switching parameters

Automatica (Journal of IFAC)
Technical Communique: Discrete-Time Optimal Control with Control-Dependent Noise and Generalized Riccati Difference Equations

Automatica (Journal of IFAC)
Near-optimal controls of random-switching LQ problems with indefinite control weight costs

Automatica (Journal of IFAC)

Uncertain exit time multi-period mean-variance portfolio selection with endogenous liabilities and Markov jumps

Automatica (Journal of IFAC)

Quantified Score

Hi-index	22.15

Visualization

Abstract

In this paper, we consider the stochastic optimal control problem of discrete-time linear systems subject to Markov jumps and multiplicative noises under two criteria. The first one is an unconstrained mean-variance trade-off performance criterion along the time, and the second one is a minimum variance criterion along the time with constraints on the expected output. We present explicit conditions for the existence of an optimal control strategy for the problems, generalizing previous results in the literature. We conclude the paper by presenting a numerical example of a multi-period portfolio selection problem with regime switching in which it is desired to minimize the sum of the variances of the portfolio along the time under the restriction of keeping the expected value of the portfolio greater than some minimum values specified by the investor.