Name
Abstract | ||
|---|---|---|
We consider in this paper the mean-variance formulation in multi-period portfolio selection under no-shorting constraint. Recognizing the structure of a piecewise quadratic value function, we prove that the optimal portfolio policy is piecewise linear with respect to the current wealth level, and derive the semi-analytical expression of the piecewise quadratic value function. One prominent feature of our findings is the identification of a deterministic time-varying threshold for the wealth process and its implications for market settings. We also generalize our results in the mean-variance formulation to utility maximization with no-shorting constraint. ? 2013 Elsevier B.V. All rights reserved. |
Year | DOI | Venue |
|---|---|---|
2014 | 10.1016/j.ejor.2013.02.040 | European Journal of Operational Research |
Keywords | Field | DocType |
Multi-period portfolio selection,Multi-period mean–variance formulation,Expected utility maximization,No-shorting | Mathematical optimization,Quadratic equation,Bellman equation,Portfolio,Utility maximization,Piecewise linear function,Piecewise,Mathematics | Journal |
Volume | Issue | ISSN |
234 | 2 | 0377-2217 |
Citations | PageRank | References |
7 | 0.51 | 6 |
Authors | ||
4 | ||
Name | Order | Citations | PageRank |
|---|---|---|---|
| Xiangyu Cui | 1 | 20 | 1.90 |
| Jianjun Gao | 2 | 51 | 11.33 |
| Xun Li | 3 | 137 | 9.90 |
| Duan Li | 4 | 721 | 73.60 |