Multi-Period Mean-Variance Portfolio Selection with Uncertain Time Horizon When Returns Are Serially Correlated
Joint Authors
Source
Mathematical Problems in Engineering
Issue
Vol. 2012, Issue 2012 (31 Dec. 2012), pp.1-17, 17 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2012-05-06
Country of Publication
Egypt
No. of Pages
17
Main Subjects
Abstract EN
We study a multi-period mean-variance portfolio selection problem with an uncertain time horizon and serial correlations.
Firstly, we embed the nonseparable multi-period optimization problem into a separable quadratic optimization problem with uncertain exit time by employing the embedding technique of Li and Ng (2000).
Then we convert the later into an optimization problem with deterministic exit time.
Finally, using the dynamic programming approach, we explicitly derive the optimal strategy and the efficient frontier for the dynamic mean-variance optimization problem.
A numerical example with AR(1) return process is also presented, which shows that both the uncertainty of exit time and the serial correlations of returns have significant impacts on the optimal strategy and the efficient frontier.
American Psychological Association (APA)
Zhang, Ling& Li, Zhongfei. 2012. Multi-Period Mean-Variance Portfolio Selection with Uncertain Time Horizon When Returns Are Serially Correlated. Mathematical Problems in Engineering،Vol. 2012, no. 2012, pp.1-17.
https://search.emarefa.net/detail/BIM-1029509
Modern Language Association (MLA)
Zhang, Ling& Li, Zhongfei. Multi-Period Mean-Variance Portfolio Selection with Uncertain Time Horizon When Returns Are Serially Correlated. Mathematical Problems in Engineering No. 2012 (2012), pp.1-17.
https://search.emarefa.net/detail/BIM-1029509
American Medical Association (AMA)
Zhang, Ling& Li, Zhongfei. Multi-Period Mean-Variance Portfolio Selection with Uncertain Time Horizon When Returns Are Serially Correlated. Mathematical Problems in Engineering. 2012. Vol. 2012, no. 2012, pp.1-17.
https://search.emarefa.net/detail/BIM-1029509
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1029509