Multi-period mean-variance portfolio selection with uncertain time horizon when returns are serially correlated
type: Item
instance of: scholarly article
title: Multi-period mean-variance portfolio selection with uncertain time horizon when returns are serially correlated
zbMATH Open document ID: 1264.91121
DOI: 10.1155/2012/216891
author: Ling Zhang
author: Zhongfei Li
published in: Mathematical Problems in Engineering
publication date: 2013-06-11T00:00:00Z
review text: Summary: We study a multi-period mean-variance portfolio selection problem with an uncertain time horizon and serial correlations. Firstly, we embed the nonseparable multi-period optimization problem into a separable quadratic optimization problem with uncertain exit time by employing the embedding technique of \textit{D. Li} and \textit{W. L. Ng} [Math. Finance 10, No. 3, 387--406 (2000; Zbl 0997.91027)]. Then we convert the later into an optimization problem with deterministic exit time. Finally, using the dynamic programming approach, we explicitly derive the optimal strategy and the efficient frontier for the dynamic mean-variance optimization problem. A numerical example with AR(1) return process is also presented, which shows that both the uncertainty of exit time and the serial correlations of returns have significant impacts on the optimal strategy and the efficient frontier.
Mathematics Subject Classification ID: 91G10
zbMATH DE Number: 6173104
Wikidata QID: Q58911306
MaRDI profile type: Publication
full work available at URL: https://doi.org/10.1155/2012/216891
OpenAlex ID: W2016780148
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description: scientific article; zbMATH DE number 6173104