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Multi-period optimization portfolio with bankruptcy control in stochastic market. (English) Zbl 1185.91168
Summary: A multi-period mean-variance portfolio selection model imposed by a bankruptcy constraint in a stochastic market is considered. The random returns of risky assets all depend on the state of the stochastic market, which is assumed to follow a Markov chain. Then a solution scheme is developed: dynamic programming is used to solve an auxiliary problem that, in turn, is manipulated to derive an optimal portfolio policy. Finally, simulation analysis is provided for the proposed model with or without bankruptcy constraint. The investment policy generated via the model can help investors not only achieve an optimal return in the sense of mean-variance tradeoff, but also have a good risk control over bankruptcy.
MSC:
91G10Portfolio theory
91B70Stochastic models in economics