A multi-period mean-variance portfolio selection with serially correlated returns of risky assets

DOI10.13195/J.KZYJC.2013.0600MaRDI QIDQ5498047zbMATH OpenFDO

Authors Haixiang Yao, Lingmin Jiang, Qinghua Ma, Minjie Jian

Publication date 11 February 2015

zbMATH Keywords

dynamic programmingserially correlated returnsmulti-period mean-variance modelLagrange duality principle

Mathematics Subject Classification ID

Dynamic programming (90C39) Portfolio theory (91G10)

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Cited in

(9)

• A new multi-period portfolio selection model under the factor model
• Multi-period mean-variance portfolio selection with uncertain time horizon when returns are serially correlated
• The impact of general correlation under multi-period mean-variance asset-liability portfolio management
• Portfolio optimization with serially correlated, skewed and fat tailed index returns
• Time-consistent strategies for multi-period mean-variance portfolio optimization with the serially correlated returns
• Portfolio theory for squared returns correlated across time
• Mean-variance portfolio selection with correlation risk
• SOME FURTHER ANALYTICAL PROPERTIES OF THE CONSTANT CORRELATION MODEL FOR PORTFOLIO SELECTION
• Multi-period portfolio optimization: translation of autocorrelation risk to excess variance

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