Multi-Period Mean-Variance Portfolio Selection with Regime-Switching

Wang, Yang

Wang Y 2019.pdf (2.719Mb)

Access Status

Open access

Authors

Wang, Yang

Date

2019

Supervisor

Yong Wu

Type

Thesis

Award

PhD

Metadata

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Faculty

Science and Engineering

School

School of Electrical Engineering, Computing and Mathematical Sciences

URI

http://hdl.handle.net/20.500.11937/78725

Collection

Curtin Theses

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.