Mean variance and goal achieving portfolio for discrete-time market with currently observable source of correlations
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 g...
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| Format: | Journal Article |
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EDP Sciences
2010
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| Online Access: | http://hdl.handle.net/20.500.11937/13316 |
| _version_ | 1848748315265466368 |
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| author | Dokuchaev, Nikolai |
| author_facet | Dokuchaev, Nikolai |
| author_sort | Dokuchaev, Nikolai |
| building | Curtin Institutional Repository |
| collection | Online Access |
| description | 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. |
| first_indexed | 2025-11-14T07:03:05Z |
| format | Journal Article |
| id | curtin-20.500.11937-13316 |
| institution | Curtin University Malaysia |
| institution_category | Local University |
| last_indexed | 2025-11-14T07:03:05Z |
| publishDate | 2010 |
| publisher | EDP Sciences |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | curtin-20.500.11937-133162017-09-13T15:54:08Z Mean variance and goal achieving portfolio for discrete-time market with currently observable source of correlations Dokuchaev, Nikolai discrete time market goal achieving myopic strategies mean variance portfolio serial correlation multi-period market optimal portfolio 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. 2010 Journal Article http://hdl.handle.net/20.500.11937/13316 10.1051/cocv/2009008 EDP Sciences fulltext |
| spellingShingle | discrete time market goal achieving myopic strategies mean variance portfolio serial correlation multi-period market optimal portfolio Dokuchaev, Nikolai Mean variance and goal achieving portfolio for discrete-time market with currently observable source of correlations |
| title | Mean variance and goal achieving portfolio for discrete-time market with currently observable source of correlations |
| title_full | Mean variance and goal achieving portfolio for discrete-time market with currently observable source of correlations |
| title_fullStr | Mean variance and goal achieving portfolio for discrete-time market with currently observable source of correlations |
| title_full_unstemmed | Mean variance and goal achieving portfolio for discrete-time market with currently observable source of correlations |
| title_short | Mean variance and goal achieving portfolio for discrete-time market with currently observable source of correlations |
| title_sort | mean variance and goal achieving portfolio for discrete-time market with currently observable source of correlations |
| topic | discrete time market goal achieving myopic strategies mean variance portfolio serial correlation multi-period market optimal portfolio |
| url | http://hdl.handle.net/20.500.11937/13316 |