Mean variance and goal achieving portfolio for discrete-time market with currently observable source of correlations
Abstract
The paper studies optimal portfolio selection for discrete time market models in mean-variance and goal achieving setting. The optimal strategies are obtained for models with an observed process that causes serial correlations of price changes. The optimal strategies are found to be myopic for the goal-achieving problem and quasi-myopic for the mean variance portfolio.
Citation
Dokuchaev, Nikolai. 2010. Mean variance and goal achieving portfolio for discrete-time market with currently observable source of correlations. European Series in Applied and Industrial Mathematics: Control, Optimisation and Calculus of Variations (ESAIM COCV). 16 (3): pp. 635-647.
Source Title
European Series in Applied and Industrial Mathematics: Control, Optimisation and Calculus of Variations (ESAIM COCV)
ISSN
Faculty
School of Science and Computing
Department of Mathematics and Statistics
Faculty of Science and Engineering
Remarks
The original publication is available at www.esaim-cocv.org. © EDP Sciences, SMAI 2009
Collection
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