Author(s): Oswaldo Luiz do Valle Costa | Rodrigo de Barros Nabholz
Journal: Revista Brasileira de Finanças
ISSN 1679-0731
Volume: 3;
Issue: 1;
Start page: 101;
Date: 2005;
Original page
Keywords: portoflio choice | multi-peiord optimization | mean variance analysis
ABSTRACT
In a recent paper, Li and Ng (2000) considered the multi-period mean variance optimization problem, with investing horizon T, for the case in which only the final variance Var(V(T)) or expected value of the portfolio E(V(T)) are considered in the optimization problem. In this paper we extend their results to the case in which the intermediate expected values E(V(t)) and variances Var(V(t)) for t = 1,,T can also be taken into account in the optimization problem. The main advantage of this technique is that it is possible to control the intermediate behavior of the portfolios return or variance. An example illustrating this situation is presented.
Journal: Revista Brasileira de Finanças
ISSN 1679-0731
Volume: 3;
Issue: 1;
Start page: 101;
Date: 2005;
Original page
Keywords: portoflio choice | multi-peiord optimization | mean variance analysis
ABSTRACT
In a recent paper, Li and Ng (2000) considered the multi-period mean variance optimization problem, with investing horizon T, for the case in which only the final variance Var(V(T)) or expected value of the portfolio E(V(T)) are considered in the optimization problem. In this paper we extend their results to the case in which the intermediate expected values E(V(t)) and variances Var(V(t)) for t = 1,,T can also be taken into account in the optimization problem. The main advantage of this technique is that it is possible to control the intermediate behavior of the portfolios return or variance. An example illustrating this situation is presented.
