Optimal dynamic portfolio selection: Multiperiod mean-variance formulation

被引：691

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

页码：387 / 406

页数：20

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