Multi-period mean variance portfolio selection under incomplete information

DOI10.1002/ASMB.2191MaRDI QIDQ4620169zbMATH OpenOpenAlexFDO

Authors Ling Zhang, Yunhui Xu, Yongwu Li, Zhongfei Li

Publication date 8 February 2019

Published in Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/asmb.2191

zbMATH Keywords

hidden Markov chainportfolio optimizationregime switchingsufficient statistics

Mathematics Subject Classification ID

Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Dynamic programming (90C39) Portfolio theory (91G10)

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• Optimal harvesting policy of an inland fishery resource under incomplete information
• Robust asset allocation with conditional value at risk using the forward search
• Portfolio optimization: a mean-variance approach for non-Markovian regime-switching markets
• Portfolio optimization under regime-switching with market path-dependent returns
• Large portfolio allocation based on high-dimensional regression and Kendall’s Tau
• Equilibrium multi-period investment strategy for a DC pension plan with incomplete information: Hidden Markov model

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