Multi-Period Mean-Variance Portfolio Selection with Regime-Switching
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...
| Main Author: | |
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| Format: | Thesis |
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Curtin University
2019
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| Online Access: | http://hdl.handle.net/20.500.11937/78725 |
| _version_ | 1848763981203767296 |
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| author | Wang, Yang |
| author_facet | Wang, Yang |
| author_sort | Wang, Yang |
| building | Curtin Institutional Repository |
| collection | Online Access |
| description | 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. |
| first_indexed | 2025-11-14T11:12:05Z |
| format | Thesis |
| id | curtin-20.500.11937-78725 |
| institution | Curtin University Malaysia |
| institution_category | Local University |
| last_indexed | 2025-11-14T11:12:05Z |
| publishDate | 2019 |
| publisher | Curtin University |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | curtin-20.500.11937-787252020-04-20T03:30:25Z Multi-Period Mean-Variance Portfolio Selection with Regime-Switching Wang, Yang 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. 2019 Thesis http://hdl.handle.net/20.500.11937/78725 Curtin University fulltext |
| spellingShingle | Wang, Yang Multi-Period Mean-Variance Portfolio Selection with Regime-Switching |
| title | Multi-Period Mean-Variance Portfolio Selection with Regime-Switching |
| title_full | Multi-Period Mean-Variance Portfolio Selection with Regime-Switching |
| title_fullStr | Multi-Period Mean-Variance Portfolio Selection with Regime-Switching |
| title_full_unstemmed | Multi-Period Mean-Variance Portfolio Selection with Regime-Switching |
| title_short | Multi-Period Mean-Variance Portfolio Selection with Regime-Switching |
| title_sort | multi-period mean-variance portfolio selection with regime-switching |
| url | http://hdl.handle.net/20.500.11937/78725 |