Dynamic mean-variance portfolio selection based on stochastic benchmark

被引：0

作者：

Wang, Xiu-Guo ^{[1
]}

Wang, Yi-Dong ^{[1
]}

机构：

[1] School of Statistics and Mathematics, Central University of Finance and Economics

来源：

Kongzhi yu Juece/Control and Decision | 2014年 / 29卷 / 03期

关键词：

Dynamic portfolio selection; Efficient frontier; Optimal strategies; Stochastic benchmark;

D O I：

10.13195/j.kzyjc.2012.1802

中图分类号：

学科分类号：

摘要：

In an incomplete market, the problem of dynamic mean-variance portfolio selection is investigated based on a benchmark defined by a stochastic process. The problem is also interpreted as a dynamic tracking-error portfolio selection, and is transformed as a problem of maximizing the expected relative return considering risk adjusted. Stochastic dynamic programming method is used to obtain explicit solutions of the optimal strategies and efficient frontier. Finally, an empirical analysis is conducted to illustrate the results obtained.

引用

页码：499 / 505

页数：6

共 28 条

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