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

Published online by Cambridge University Press:  18 June 2009

Nikolai Dokuchaev
Nikolai Dokuchaev*
Affiliation:
Department of Mathematics, Trent University, Ontario, Canada. nikolaidokuchaev@trentu.ca Current address: Department of Mathematics and Statistics, Curtin University of Technology, GPO Box U1987, Perth, Australia. N.Dokuchaev@curtin.edu.au
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Abstract

The paper studies optimal portfolio selection for discrete timemarket models in mean-variance and goal achieving setting. Theoptimal strategies are obtained for models with an observed processthat causes serial correlations of price changes. The optimalstrategies are found to be myopic for the goal-achieving problem andquasi-myopic for the mean variance portfolio.

Keywords

Discrete time marketmulti-period marketmyopic strategiesserial correlationoptimal portfoliomean variance portfoliogoal achieving
Type
Research Article
Information
ESAIM: Control, Optimisation and Calculus of Variations , Volume 16 , Issue 3 , July 2010 , pp. 635 - 647
Copyright
© EDP Sciences, SMAI, 2009

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