Mean Variance and Goal Achieving Portfolio for Discrete-Time Market With Currently Observable Source of Correlations

Dokuchaev, Nikolai

doi:10.2139/ssrn.984777

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Mean Variance and Goal Achieving Portfolio for Discrete-Time Market With Currently Observable Source of Correlations

19 Pages Posted: 8 May 2007 Last revised: 9 Mar 2009

See all articles by Nikolai Dokuchaev

Nikolai Dokuchaev

Zhejiang University/University of Illinois at Urbana-Champaign Institute

Date Written: May 6, 2007

Abstract

The paper studies multi-period discrete time market models with serial correlations. We found the optimal strategy in mean-variance and goal achieving setting for the case when there are serial correlations and when the parameter process that causes correlations is currently observable.

Keywords: discrete time market, multi-period market, serial correlation, optimal portfolio, mean variance portfolio, goal achieving

JEL Classification: C44, D81, D84, G11

Suggested Citation: Suggested Citation

Dokuchaev, Nikolai, Mean Variance and Goal Achieving Portfolio for Discrete-Time Market With Currently Observable Source of Correlations (May 6, 2007). Available at SSRN: https://ssrn.com/abstract=984777 or http://dx.doi.org/10.2139/ssrn.984777