Issue |
ESAIM: COCV
Volume 16, Number 3, July-September 2010
|
|
---|---|---|
Page(s) | 635 - 647 | |
DOI | https://doi.org/10.1051/cocv/2009008 | |
Published online | 18 June 2009 |
Mean variance and goal achieving portfolio for discrete-time market with currently observable source of correlations
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
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
© EDP Sciences, SMAI, 2009
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