Mean variance and goal achieving portfolio for discrete-time market with currently observable source of correlations

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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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Bibliographic Details
Main Author:	Dokuchaev, Nikolai
Format:	Journal Article
Published:	EDP Sciences 2010
Subjects:	discrete time market goal achieving myopic strategies mean variance portfolio serial correlation multi-period market optimal portfolio
Online Access:	http://hdl.handle.net/20.500.11937/13316

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