Optimal dynamic portfolio selection: Multiperiod mean-variance formulation

被引：680
|
作者：
Li, D [1 ]
Ng, WL [1 ]
机构：
[1] Chinese Univ Hong Kong, Dept Syst Engn & Engn Management, Shatin, Hong Kong, Peoples R China
来源：
MATHEMATICAL FINANCE | 2000年 / 10卷 / 03期
关键词：
multiperiod portfolio selection; multiperiod mean-variance formulation; utility function;
D O I：
10.1111/1467-9965.00100
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
The mean-variance formulation by Markowitz in the 1950s paved a foundation for modem portfolio selection analysis in a single period. This paper considers an analytical optimal solution to the mean-variance formulation in multiperiod portfolio selection. Specifically, analytical optimal portfolio policy and analytical expression of the mean-variance efficient frontier are derived in this paper for the multiperiod mean-variance formulation. An efficient algorithm is also proposed for finding an optimal portfolio policy to maximize a utility function of the expected value and the variance of the terminal wealth.
引用
收藏
页码：387 / 406
页数：20
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