Generalized Mean-Variance Portfolio Selection Model with Regime Switching

摘要

In this paper we deal with a generalized multi-period mean-variance portfolio selection problem with the market parameters subject to Markov random regime switchings. We present necessary and sufficient conditions for obtaining an optimal control policy for this Markovian generalized multi-period mean-variance model, based on a recursive procedure. The analytical solution of our model provides the base for the solution of a great variety of mean-variance formulations.