Mean-Variance Portfolio Selection with a Stochastic Cash Flow in a Markov-switching Jump–Diffusion Market

Huiling Wu ()
Additional contact information
Huiling Wu: Central University of Finance and Economics

Journal of Optimization Theory and Applications, 2013, vol. 158, issue 3, No 15, 918-934

Abstract: Abstract This paper considers a non-self-financing mean-variance portfolio selection problem in which the stock price and the stochastic cash flow follow a Markov-modulated Lévy process and a Markov-modulated Brownian motion with drift, respectively. The stochastic cash flow can be explained as the stochastic income or liability of the investors during the investment process. The existence of optimal solutions is analyzed, and the optimal strategy and the efficient frontier are derived in closed-form by the Lagrange multiplier technique and the LQ (Linear Quadratic) technique.

Keywords: Mean-variance portfolio selection; Markov regime switching; Stochastic cash flow; Geometric Levy process; LQ technique (search for similar items in EconPapers)
Date: 2013
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

Downloads: (external link)
http://link.springer.com/10.1007/s10957-013-0292-x Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:joptap:v:158:y:2013:i:3:d:10.1007_s10957-013-0292-x

Ordering information: This journal article can be ordered from
http://www.springer. ... cs/journal/10957/PS2

DOI: 10.1007/s10957-013-0292-x

Access Statistics for this article

Journal of Optimization Theory and Applications is currently edited by Franco Giannessi and David G. Hull

More articles in Journal of Optimization Theory and Applications from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().