Optimal Dynamic Portfolio Selection: Multiperiod Mean-Variance Formulation

Posted: 6 Feb 2001

See all articles by Duan Li

Duan Li

The Chinese University of Hong Kong (CUHK) - Department of Systems Engineering & Engineering Management

Wan-Lung Ng

The Chinese University of Hong Kong (CUHK)

Abstract

The mean-variance formulation by Markowitz in the 1950s paved a foundation for modern portfolio selection analysis in a single period. This paper considers an analytical optimal solution to the mean-variance formulation in multiperiod portfolio selection. Specifically, analytical optimal portfolio policy and analytical expression of the mean-variance efficient frontier are derived in this paper for the multiperiod mean-variance formulation. An efficient algorithm is also proposed for finding an optimal portfolio policy to maximize a utility function of the expected value and the variance of the terminal wealth.

Suggested Citation

Li, Duan and Ng, Wan-Lung, Optimal Dynamic Portfolio Selection: Multiperiod Mean-Variance Formulation. Mathematical Finance, Vol. 10, Issue 3, July 2000. Available at SSRN: https://ssrn.com/abstract=242879

Duan Li (Contact Author)

The Chinese University of Hong Kong (CUHK) - Department of Systems Engineering & Engineering Management ( email )

Shatin, New Territories
Hong Kong
(852) 2609-8323 (Phone)
(852) 2609-5505 (Fax)

HOME PAGE: http://www.se.cuhk.edu.hk/~dli/

Wan-Lung Ng

The Chinese University of Hong Kong (CUHK)

Dept. of Systems Engineering and Engineering Management
Shatin, N.T., Hong Kong
China
+852 2609-8313 (Phone)
+852 2603-5505 (Fax)

Register to save articles to
your library

Register

Paper statistics

Abstract Views
2,575
PlumX Metrics