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

Nikolai Dokuchaev

ESAIM: Control, Optimisation and Calculus of Variations (2010)

  • Volume: 16, Issue: 3, page 635-647
  • ISSN: 1292-8119

Abstract

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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.

How to cite

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Dokuchaev, Nikolai. "Mean variance and goal achieving portfolio for discrete-time market with currently observable source of correlations." ESAIM: Control, Optimisation and Calculus of Variations 16.3 (2010): 635-647. <http://eudml.org/doc/250718>.

@article{Dokuchaev2010,
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. },
author = {Dokuchaev, Nikolai},
journal = {ESAIM: Control, Optimisation and Calculus of Variations},
keywords = {Discrete time market; multi-period market; myopic strategies; serial correlation; optimal portfolio; mean variance portfolio; goal achieving; discrete time market; optimal portfolio},
language = {eng},
month = {7},
number = {3},
pages = {635-647},
publisher = {EDP Sciences},
title = {Mean variance and goal achieving portfolio for discrete-time market with currently observable source of correlations},
url = {http://eudml.org/doc/250718},
volume = {16},
year = {2010},
}

TY - JOUR
AU - Dokuchaev, Nikolai
TI - Mean variance and goal achieving portfolio for discrete-time market with currently observable source of correlations
JO - ESAIM: Control, Optimisation and Calculus of Variations
DA - 2010/7//
PB - EDP Sciences
VL - 16
IS - 3
SP - 635
EP - 647
AB - 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.
LA - eng
KW - Discrete time market; multi-period market; myopic strategies; serial correlation; optimal portfolio; mean variance portfolio; goal achieving; discrete time market; optimal portfolio
UR - http://eudml.org/doc/250718
ER -

References

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