Mean variance and goal achieving portfolio for discrete-time market with currently observable source of correlations
| dc.contributor.author | Dokuchaev, Nikolai | |
| dc.date.accessioned | 2017-01-30T11:36:18Z | |
| dc.date.available | 2017-01-30T11:36:18Z | |
| dc.date.created | 2010-07-07T20:02:28Z | |
| dc.date.issued | 2010 | |
| dc.identifier.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. | |
| dc.identifier.uri | http://hdl.handle.net/20.500.11937/13316 | |
| dc.identifier.doi | 10.1051/cocv/2009008 | |
| dc.description.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. | |
| dc.publisher | EDP Sciences | |
| dc.subject | discrete time market | |
| dc.subject | goal achieving | |
| dc.subject | myopic strategies | |
| dc.subject | mean variance portfolio | |
| dc.subject | serial correlation | |
| dc.subject | multi-period market | |
| dc.subject | optimal portfolio | |
| dc.title | Mean variance and goal achieving portfolio for discrete-time market with currently observable source of correlations | |
| dc.type | Journal Article | |
| dcterms.source.volume | 16 | |
| dcterms.source.number | 3 | |
| dcterms.source.startPage | 635 | |
| dcterms.source.endPage | 647 | |
| dcterms.source.issn | 1292-8119 | |
| dcterms.source.title | European Series in Applied and Industrial Mathematics: Control, Optimisation and Calculus of Variations (ESAIM COCV) | |
| curtin.note |
The original publication is available at www.esaim-cocv.org. © EDP Sciences, SMAI 2009 | |
| curtin.accessStatus | Open access | |
| curtin.faculty | School of Science and Computing | |
| curtin.faculty | Department of Mathematics and Statistics | |
| curtin.faculty | Faculty of Science and Engineering |