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A Multi-Period Mean-Variance Portfolio Selection Problem

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Author(s): Oswaldo Luiz do Valle Costa | Rodrigo de Barros Nabholz

Journal: Revista Brasileira de Finan├žas
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.
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