Continuous-time mean-variance efficiency: the 80\% rule
From MaRDI portal
Publication:997400
DOI10.1214/105051606000000349zbMATH Open1132.91472arXivmath/0702249OpenAlexW3106108365MaRDI QIDQ997400FDOQ997400
Authors: Xun Li, Xun Yu Zhou 
Publication date: 6 August 2007
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Abstract: This paper studies a continuous-time market where an agent, having specified an investment horizon and a targeted terminal mean return, seeks to minimize the variance of the return. The optimal portfolio of such a problem is called mean-variance efficient `{a} la Markowitz. It is shown that, when the market coefficients are deterministic functions of time, a mean-variance efficient portfolio realizes the (discounted) targeted return on or before the terminal date with a probability greater than 0.8072. This number is universal irrespective of the market parameters, the targeted return and the length of the investment horizon.
Full work available at URL: https://arxiv.org/abs/math/0702249
Recommendations
- Continuous-time mean-variance portfolio selection with random horizon
- Mean-variance versus expected utility in dynamic investment analysis
- scientific article; zbMATH DE number 1944278
- A varying terminal time mean-variance model
- CONTINUOUS-TIME MEAN-VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Optimal stochastic control (93E20)
Cites Work
- Title not available (Why is that?)
- Continuous-time mean-variance portfolio selection: a stochastic LQ framework
- Optimal dynamic portfolio selection: multiperiod mean-variance formulation
- Title not available (Why is that?)
- Title not available (Why is that?)
- Title not available (Why is that?)
- Markowitz revisited: mean-variance models in financial portfolio analysis
- Mean-Variance Portfolio Selection with Random Parameters in a Complete Market
- Quadratic Hedging and Mean-Variance Portfolio Selection with Random Parameters in an Incomplete Market
- CONTINUOUS-TIME MEAN-VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION
- MEAN–VARIANCE PORTFOLIO CHOICE: QUADRATIC PARTIAL HEDGING
Cited In (27)
- A mean-field formulation for optimal multi-period mean-variance portfolio selection with an uncertain exit time
- Comparison of mean variance like strategies for optimal asset allocation problems
- A stochastic control problem and related free boundaries in finance
- The premium of dynamic trading
- Continuous time mean variance asset allocation: a time-consistent strategy
- Optimal stopping investment with non-smooth utility over an infinite time horizon
- Goal achieving probabilities of cone-constrained mean-variance portfolios
- Dynamic mean-variance asset allocation with stochastic interest rate and inflation rate
- Numerical solution of the Hamilton-Jacobi-Bellman formulation for continuous time mean variance asset allocation
- Point-to-point stochastic control of a self-financing portfolio
- Goal achieving probabilities of constrained mean-variance strategies
- A varying terminal time mean-variance model
- Mean-variance portfolio selection in presence of infrequently traded stocks
- Continuous-time mean-variance portfolios: a comparison
- Optimal investment with stopping in finite horizon
- Portfolio selection with exploration of new investment assets
- Dynamic portfolio choice when risk is measured by weighted VaR
- Naïve Markowitz policies
- Thou shalt buy and hold
- Continuous-time mean-variance portfolio optimization in a jump-diffusion market
- Better than dynamic mean-variance: time inconsistency and free cash flow stream
- Mean-variance portfolio selection with random investment horizon
- Buy-and-hold mean-variance portfolios with a random exit strategy
- Beating a Benchmark: Dynamic Programming May Not Be the Right Numerical Approach
- A note on monotone mean-variance preferences for continuous processes
- Open-loop solvability for mean-field stochastic linear quadratic optimal control problems of Markov regime-switching system
- Bankruptcy in long-term investments
This page was built for publication: Continuous-time mean-variance efficiency: the 80\% rule
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q997400)
