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    Mean variance and goal achieving portfolio for discrete-time market with currently observable source of correlations

    142848_23350_ESAIM COCV 2010.pdf (225.2Kb)
    Access Status
    Open access
    Authors
    Dokuchaev, Nikolai
    Date
    2010
    Type
    Journal Article
    
    Metadata
    Show full item record
    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)
    DOI
    10.1051/cocv/2009008
    ISSN
    1292-8119
    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

    URI
    http://hdl.handle.net/20.500.11937/13316
    Collection
    • Curtin Research Publications
    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.

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