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goal achieving

ESAIM: Control, Optimisation and Calculus of Variations (1)

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1 results

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

ESAIM: Control, Optimisation and Calculus of Variations / Volume 16 / Issue 3 / July 2010

Published online by Cambridge University Press:

18 June 2009, pp. 635-647

Print publication:

July 2010
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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.