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

Issue		ESAIM: COCV Volume 16, Number 3, July-September 2010


Page(s)		635 - 647
DOI		10.1051/cocv/2009008
Published online		18 June 2009

ESAIM: COCV 16 (2010) 635-647

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

Nikolai Dokuchaev¹^,2

¹ Department of Mathematics, Trent University, Ontario, Canada. nikolaidokuchaev@trentu.ca
² Current address: Department of Mathematics and Statistics, Curtin University of Technology, GPO Box U1987, Perth, Australia. N.Dokuchaev@curtin.edu.au

Received: 11 July 2008
Revised: 30 November 2008

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.

Mathematics Subject Classification: 91B16 / 91B70.

Key words: Discrete time market / multi-period market / myopic strategies / serial correlation / optimal portfolio / mean variance portfolio / goal achieving.

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