Multiperiod Mean-Variance Customer Constrained Portfolio Optimization for Finite Discrete-Time Markov Chains

Solving the mean-variance customer portfolio in Markov chains using iterated quadratic/Lagrange programming: A credit-card customer limits approach

In this paper we present a new mean–variance customer portfolio optimization algorithm for a class of ergodic finite controllable Markov chains. In order to have a realistic result we propose an iterated twostep method for solving the given portfolio constraint problem: (a) the first step is designed to optimize the nonlinear problem using a quadratic programming method for finding the long run...

Convex Duality in Constrained Mean-variance Portfolio Optimization

Mean-variance Portfolio Selection under Markov Regime: Discrete-time Models and Continuous-time Limits

In this paper, we propose a discrete-time model for mean-variance portfolio selection. One of the distinct features is that the system under consideration is a Markov modulated system. We show that under suitable conditions and scaling, the process of interest goes to a switching diffusion limit. Related issues on optimal strategies and efficient frontier will also be mentioned.

Time-Consistent Strategies for a Multiperiod Mean-Variance Portfolio Selection Problem

It remained prevalent in the past years to obtain the precommitment strategies for Markowitz’s mean-variance portfolio optimization problems, but not much is known about their time-consistent strategies. This paper takes a step to investigate the time-consistent Nash equilibrium strategies for a multiperiod mean-variance portfolio selection problem. Under the assumption that the risk aversion i...

Sensitivity analysis for finite Markov chains in discrete time

When the initial and transition probabilities of a finite Markov chain in discrete time are not well known, we should perform a sensitivity analysis. This is done by considering as basic uncertainty models the so-called credal sets that these probabilities are known or believed to belong to, and by allowing the probabilities to vary over such sets. This leads to the definition of an imprecise M...