Mult-period mean-variance portfolio selection with serially correlated returns of risky assets

被引：0
作者：
机构：
[1] School of Informatics, Guangdong University of Foreign Studies
[2] College of Science, South China Agricultural University
来源：
Yao, H.-X. (yaohaixiang@mail.gdufs.edu.cn) | 1600年 / Northeast University卷 / 29期
关键词：
Dynamic programming; Lagrange duality principle; Multi-period mean-variance model; Serially correlated returns;
D O I：
10.13195/j.kzyjc.2013.0600
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
Based on the multi-period mean-variance framework, a portfolio selection problem with serially correlated returns of multiple risky assets is studied. Firstly, by using the Lagrange duality principle and the dynamic programming approach, the model is solved explicitly, and closed-form expressions for the efficient investment strategy and mean-variance efficient frontier are obtained. Then, it is further showed that when the market includes a risk-free asset, the efficient frontier is still a straight line in the standard derivation-mean plane. Finally, by utilizing these results, a specific example is provided.
引用
收藏
页码：1226 / 1231
页数：5
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