文章基本信息

标题：A Multi-Period Mean-Variance Portfolio Selection Problem
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作者：Oswaldo Luiz do Valle Costa ; Rodrigo de Barros Nabholz
期刊名称：Brazilian Review of Finance
印刷版ISSN：1984-5146
出版年度：2005
卷号：3
期号：1
页码：101-121
语种：English
出版社：Link to the Brazilian Society of Finance
摘要：In a recent paper, Li and Ng (2000) considered the multi-period mean variance optimization problem, with investing horizon T, for the case in which only the final variance Var(V(T)) or expected value of the portfolio E(V(T)) are considered in the optimization problem. In this paper we extend their results to the case in which the intermediate expected values E(V(t)) and variances Var(V(t)) for t = 1,,T can also be taken into account in the optimization problem. The main advantage of this technique is that it is possible to control the intermediate behavior of the portfolios return or variance. An example illustrating this situation is presented.
其他摘要：In a recent paper, Li and Ng (2000) considered the multi-period mean variance optimization problem, with investing horizon T, for the case in which only the final variance Var(V(T)) or expected value of the portfolio E(V(T)) are considered in the optimization problem. In this paper we extend their results to the case in which the intermediate expected values E(V(t)) and variances Var(V(t)) for t = 1,,T can also be taken into account in the optimization problem. The main advantage of this technique is that it is possible to control the intermediate behavior of the portfolios return or variance. An example illustrating this situation is presented.
关键词：portoflio choice;multi-peiord optimization;mean variance analysis;escolha de carteiras;otimização de múltiplos períodos;análise de média e variância
其他关键词：Business; Industrial Engeneering;portoflio choice; multi-peiord optimization; mean variance analysis;C61; C63; G11