Optimal Multiperiod Mean-Variance Policy Under No-Shorting Constraint
29 Pages Posted: 29 Jan 2012
Date Written: January 27, 2012
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 under no-shorting constraint.
Suggested Citation: Suggested Citation
Do you have a job opening that you would like to promote on SSRN?
Recommended Papers
-
Continuous-Time Mean-Variance Portfolio Selection with Bankruptcy Prohibition
By Tomasz R. Bielecki, Hanqing Jin, ...
-
Dynamic Mean-Variance Asset Allocation
By Suleyman Basak and Georgy Chabakauri
-
Dynamic Mean-Variance Asset Allocation
By Suleyman Basak and Georgy Chabakauri
-
A Geometric Approach to Multiperiod Mean Variance Optimization of Assets and Liabilities
By Markus Leippold, Paolo Vanini, ...
-
A Mean-Variance Benchmark for Intertemporal Portfolio Theory
-
Dynamic Hedging in Incomplete Markets: A Simple Solution
By Suleyman Basak and Georgy Chabakauri
-
Dynamic Hedging in Incomplete Markets: A Simple Solution
By Suleyman Basak and Georgy Chabakauri
-
Implications of Sharpe Ratio as a Performance Measure in Multi-Period Settings
By Jaksa Cvitanic, Tan Wang, ...
-
Some Solvable Portfolio Problems with Quadratic and Collective Objectives
-
A General Theory of Markovian Time Inconsistent Stochastic Control Problems
By Tomas Bjork and Agatha Murgoci
