Publication ahead of print Issue ESAIM: COCV DOI 10.1051/cocv/2009008 Published online 18 June 2009

ESAIM: COCV
DOI: 10.1051/cocv/2009008

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

Nikolai Dokuchaev

Department of Mathematics, Trent University, Ontario, Canada. nikolaidokuchaev@trentu.ca

Received July 11, 2008. Revised November 30, 2008. Published online June 18, 2009.

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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