Abstract
The mean-variance formulation by Markowitz in the 1950s paved a foundation for modern 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.
| Original language | English |
|---|---|
| Pages (from-to) | 387-406 |
| Journal | Mathematical Finance |
| Volume | 10 |
| Issue number | 3 |
| DOIs | |
| Publication status | Published - Jul 2000 |
| Externally published | Yes |
Research Keywords
- Multiperiod mean-variance formulation
- Multiperiod portfolio selection
- Utility function
Policy Impact
- Cited in Policy Documents
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