Abstract
A multi-period mean-variance model is developed where the model parameters change according to a market with Markov random regime switching. Robust optimization is used to solve the problem which, in turn, gives the explicit expression of the efficient frontier of the mean-variance formulation. Furthermore, a numerical example based on real data from the Chinese stock market is provided to demonstrate the application of this paper.
Published Version
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
