Multiperiod Mean-Variance Portfolio Optimization via Market Cloning

被引：5
|
作者：
Ankirchner, Stefan [1 ]
Dermoune, Azzouz [2 ]
机构：
[1] Univ Bonn, Hausdorff Ctr Math, Inst Angew Math, D-53115 Bonn, Germany
[2] Univ Sci & Technol Lille, UFR Math, Lab Paul Painleve, CNRS,UMR 8524, F-59655 Villeneuve Dascq, France
来源：
APPLIED MATHEMATICS AND OPTIMIZATION | 2011年 / 64卷 / 01期
关键词：
Dynamic programming; Mean variance optimization; Optimal portfolios; Market clones; Independent returns; Empirical mean;
D O I：
10.1007/s00245-011-9134-0
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
The problem of finding the mean variance optimal portfolio in a multiperiod model can not be solved directly by means of dynamic programming. In order to find a solution we therefore first introduce independent market clones having the same distributional properties as the original market, and we replace the portfolio mean and variance by their empirical counterparts. We then use dynamic programming to derive portfolios maximizing a weighted sum of the empirical mean and variance. By letting the number of market clones converge to infinity we are able to solve the original mean variance problem.
引用
收藏
页码：135 / 154
页数：20
相关论文
共 50 条
  • [1] Multiperiod Mean-Variance Portfolio Optimization via Market Cloning
    Stefan Ankirchner
    Azzouz Dermoune
    Applied Mathematics & Optimization, 2011, 64 : 135 - 154
  • [2] Multiperiod mean-variance portfolio selection with intertemporal restrictions and correlated returns
    Wu, Weiping
    Yu, Dian
    Wang, Tongyao
    Gao, Jianjun
    PROCEEDINGS OF THE 30TH CHINESE CONTROL AND DECISION CONFERENCE (2018 CCDC), 2018, : 2347 - 2352
  • [3] Integrating prediction in mean-variance portfolio optimization
    Butler, Andrew
    Kwon, Roy H. H.
    QUANTITATIVE FINANCE, 2023, 23 (03) : 429 - 452
  • [4] Constrained Mean-Variance Portfolio Optimization with Alternative Return Estimation
    Georgiev B.
    Atlantic Economic Journal, 2014, 42 (1) : 91 - 107
  • [5] CONTINUOUS TIME MEAN-VARIANCE PORTFOLIO OPTIMIZATION THROUGH THE MEAN FIELD APPROACH
    Fischer, Markus
    Livieri, Giulia
    ESAIM-PROBABILITY AND STATISTICS, 2016, 20 : 30 - 44
  • [6] Multi-period mean-variance portfolio optimization with management fees
    Cui, Xiangyu
    Gao, Jianjun
    Shi, Yun
    OPERATIONAL RESEARCH, 2021, 21 (02) : 1333 - 1354
  • [7] MEAN-VARIANCE PORTFOLIO OPTIMIZATION WITH STATE-DEPENDENT RISK AVERSION
    Bjoerk, Tomas
    Murgoci, Agatha
    Zhou, Xun Yu
    MATHEMATICAL FINANCE, 2014, 24 (01) : 1 - 24
  • [8] ON TIME CONSISTENCY FOR MEAN-VARIANCE PORTFOLIO SELECTION
    Vigna, Elena
    INTERNATIONAL JOURNAL OF THEORETICAL AND APPLIED FINANCE, 2020, 23 (06)
  • [9] Mean-variance optimization with inferred regimes
    Maclean, Leonard
    Zhao, Yonggan
    Zhang, Oufan
    ANNALS OF OPERATIONS RESEARCH, 2025, 346 (01) : 341 - 368
  • [10] Exploring the mean-variance portfolio optimization approach for planning wind repowering actions in Spain
    Santos-Alamillos, F. J.
    Thomaidis, N. S.
    Usaola-Garcia, J.
    Ruiz-Arias, J. A.
    Pozo-Vazquez, D.
    RENEWABLE ENERGY, 2017, 106 : 335 - 342
12345