Optimal dynamic portfolio selection: Multiperiod mean-variance formulation
Optimal dynamic portfolio selection: Multiperiod mean-variance formulation
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DOI：
10.1111/1467-9965.00100
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发表时间：
2000-07-01
影响因子：
1.6
通讯作者：
Ng, WL
中科院分区：
文献类型：
--
作者：
Li, D;Ng, WL
Markowitz在20世纪50年代提出的均值-方差公式为现代单一时期的投资组合选择分析奠定了基础。本文研究了多期投资组合中均值-方差模型的一个解析最优解。具体地，本文推导了多期均值-方差模型下的解析最优投资组合策略和均值-方差有效前沿的解析表达式。最后给出了一个有效的算法来寻找最优投资组合策略，以最大化期望值和最终财富方差的效用函数。
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.