Multiperiod Telser’s Safety-First Portfolio Selection with Regime Switching

<div>Influence of <svg height="12.2245pt" id="M400" style="vertical-align:-2.268109pt" version="1.1" viewbox="-0.0498162 -9.95639 25.252 12.2245" width="25.252pt" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink"><g transform="matrix(.013,0,0,-0.013,0,0)"><path d="M393 379C402 394 400 411 393 422C384 437 365 448 348 448C301 448 237 372 186 285H182L193 335C210 408 205 448 178 448C150 448 80 402 29 344L45 321C80 355 114 373 122 373C128 373 130 365 124 330C106 228 76 98 50 -5L57 -12C82 -5 112 3 132 6L172 203C196 256 234 304 254 329C275 355 293 367 306 367C318 367 330 360 342 348C347 343 355 343 365 350S386 367 393 379Z" id="g113-115"></path></g><g transform="matrix(.0091,0,0,-0.0091,5.488,-5.741)"><path d="M398 365C398 411 356 451 297 451C250 451 198 430 151 397C65 336 24 230 24 139C24 14 97 -12 148 -12C198 -12 284 7 373 104L355 130C306 84 246 53 198 53C132 53 111 109 111 163V189C209 211 398 261 398 365ZM317 351C317 308 273 262 117 225C134 338 189 383 221 399C230 404 249 407 263 407C295 407 317 389 317 351Z" id="g50-102"></path></g><g transform="matrix(.013,0,0,-0.013,9.841,0)"><path d="M300 -147C201 -63 143 98 143 270S200 602 300 686L282 710C136 610 70 450 70 271V270C70 89 136 -72 282 -170L300 -147Z" id="g113-41"></path></g><g transform="matrix(.013,0,0,-0.013,14.339,0)"><path d="M384 0V27C293 34 287 42 287 114V635C232 613 172 594 109 583V559L157 557C201 555 205 550 205 499V114C205 42 199 34 109 27V0H384Z" id="g113-50"></path></g><g transform="matrix(.013,0,0,-0.013,20.579,0)"><path d="M275 270C275 450 212 609 64 710L45 686C145 604 203 442 203 270S147 -63 45 -147L64 -170C213 -68 275 89 275 270Z" id="g113-42"></path></g></svg> and <svg height="12.2245pt" id="M401" style="vertical-align:-2.268109pt" version="1.1" viewbox="-0.0498162 -9.95639 55.2902 12.2245" width="55.2902pt" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink"><g transform="matrix(.013,0,0,-0.013,0,0)"><path d="M687 650H462V622C543 612 549 605 530 547C498 447 422 252 372 126H370C302 298 229 492 204 563C188 607 191 615 262 622V650H17V622C77 616 93 608 122 534C180 389 262 172 329 -11H360C436 196 541 450 568 516C606 605 619 614 687 622V650Z" id="g121-84"></path></g><g transform="matrix(.013,0,0,-0.013,7.847,0)"><path d="M433 39L423 65C413 59 399 54 387 54C370 54 352 69 352 114V299C352 352 342 392 307 422C285 440 255 449 225 449C168 437 102 399 75 379C56 365 44 353 44 339C44 315 69 296 87 296C101 296 111 303 116 319C124 349 133 371 145 385C156 397 171 404 190 404C241 404 275 364 275 291V274C253 256 180 229 120 209C65 190 39 159 39 110C39 47 88 -12 159 -12C189 -12 237 25 277 52C282 35 288 21 301 8C312 -3 333 -12 348 -12L433 39ZM275 84C256 65 221 48 195 48C164 48 124 73 124 124C124 161 146 180 185 198C206 208 254 229 275 240V84Z" id="g121-95"></path></g><g transform="matrix(.013,0,0,-0.013,13.437,0)"><path d="M181 342V451C133 431 89 419 40 411V388C98 381 102 377 102 311V104C102 38 95 32 33 26V0H263V26C186 32 181 38 181 104V287C203 343 235 372 261 372C277 372 289 366 304 352C310 346 318 345 330 350C349 359 362 379 362 399C362 422 338 449 304 449C256 449 213 393 183 342H181Z" id="g121-112"></path></g><g transform="matrix(.013,0,0,-0.013,18.26,0)"><path d="M300 -147C201 -63 143 98 143 270S200 602 300 686L282 710C136 610 70 450 70 271V270C70 89 136 -72 282 -170L300 -147Z" id="g113-41"></path></g><g transform="matrix(.013,0,0,-0.013,22.758,0)"><path d="M610 18C585 26 567 34 540 68C517 97 499 128 476 171C452 215 425 276 413 304C496 332 570 394 570 494C570 555 545 595 509 619S419 650 364 650H139L133 622C216 615 219 612 203 527L129 132C112 40 105 36 23 28L17 0H279L285 28C199 34 194 40 211 132L239 284H284C320 284 334 275 351 236C374 182 394 140 420 93C459 23 495 -1 592 -8H600L610 18ZM480 485C480 424 449 372 403 342C374 323 338 316 293 316H245L291 562C296 589 301 601 311 608S337 618 358 618C432 618 480 575 480 485Z" id="g113-83"></path></g><g transform="matrix(.0091,0,0,-0.0091,30.909,-5.741)"><path d="M398 365C398 411 356 451 297 451C250 451 198 430 151 397C65 336 24 230 24 139C24 14 97 -12 148 -12C198 -12 284 7 373 104L355 130C306 84 246 53 198 53C132 53 111 109 111 163V189C209 211 398 261 398 365ZM317 351C317 308 273 262 117 225C134 338 189 383 221 399C230 404 249 407 263 407C295 407 317 389 317 351Z" id="g50-102"></path></g><g transform="matrix(.013,0,0,-0.013,35.262,0)"><path d="M300 -147C201 -63 143 98 143 270S200 602 300 686L282 710C136 610 70 450 70 271V270C70 89 136 -72 282 -170L300 -147Z" id="g113-41"></path></g><g transform="matrix(.013,0,0,-0.013,39.76,0)"><path d="M384 0V27C293 34 287 42 287 114V635C232 613 172 594 109 583V559L157 557C201 555 205 550 205 499V114C205 42 199 34 109 27V0H384Z" id="g113-50"></path></g><g transform="matrix(.013,0,0,-0.013,46,0)"><path d="M275 270C275 450 212 609 64 710L45 686C145 604 203 442 203 270S147 -63 45 -147L64 -170C213 -68 275 89 275 270Z" id="g113-42"></path></g><g transform="matrix(.013,0,0,-0.013,50.498,0)"><path d="M275 270C275 450 212 609 64 710L45 686C145 604 203 442 203 270S147 -63 45 -147L64 -170C213 -68 275 89 275 270Z" id="g113-42"></path></g></svg> on <svg height="12.7178pt" id="M402" style="vertical-align:-3.42947pt" version="1.1" viewbox="-0.0498162 -9.28833 7.68094 12.7178" width="7.68094pt" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink"><g transform="matrix(.013,0,0,-0.013,0,0)"><path d="M558 587C558 666 497 712 432 712C379 712 330 691 284 650C212 586 178 508 148 348L71 -65C49 -185 35 -229 23 -235L27 -261C49 -259 101 -251 124 -224C131 -216 138 -178 159 -24C171 66 197 200 227 356C264 550 295 668 393 668C443 668 479 632 479 575C479 516 446 458 383 418C361 404 344 398 318 397L296 350C395 338 460 281 460 192C460 110 411 40 300 40C258 40 215 55 192 69L181 51C191 18 222 -16 266 -16C308 -16 351 1 397 26C471 67 545 142 545 221C545 315 486 365 401 395C469 437 558 498 558 587Z" id="g113-224"></path></g></svg> and <span class="nowrap"><svg height="9.39034pt" id="M403" style="vertical-align:-3.42943pt" version="1.1" viewbox="-0.0498162 -5.96091 6.63704 9.39034" width="6.63704pt" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink"><g transform="matrix(.013,0,0,-0.013,0,0)"><path d="M478 372C478 418 458 448 431 448C409 448 389 431 389 410C389 404 391 400 394 395C398 388 406 371 406 348C406 253 308 122 251 51H249C254 122 249 257 231 336C212 421 189 448 159 448C126 448 75 412 23 327L48 306C83 354 103 371 115 371C125 371 134 360 144 334C185 224 192 64 183 -19C146 -100 116 -202 110 -244L125 -261C154 -259 208 -234 222 -220C222 -194 225 -84 235 -23C247 -3 273 36 308 79C379 165 478 288 478 372Z" id="g113-225"></path></g></svg>.</span></div>

Discrete Dynamics in Nature and Society

tab2

Table 2

Table 2: Multiperiod Telser’s Safety-First Portfolio Selection with Regime Switching 