Multi-Period Mean-Variance Portfolio Selection with Regime-Switching
Access Status
Open access
Authors
Wang, Yang
Date
2019Supervisor
Yong Wu
Type
Thesis
Award
PhD
Metadata
Show full item recordFaculty
Science and Engineering
School
School of Electrical Engineering, Computing and Mathematical Sciences
Collection
Abstract
This thesis studies the multi-period mean-variance portfolio selection under regime-switching with two kinds of constraints: uncertain time horizon and special market conditions. The thesis uses dynamic programming approach to obtain the optimal investment strategies and the corresponding efficient frontiers. Some special cases and numerical analysis are used to illustrate the effect of different factors on the efficient frontiers.