Title :

Time-consistent strategies for multi-period mean-variance portfolio optimization with the serially correlated returns

Author(s) :

Xiao, Helu [Auteur]
Zhou, Zhongbao [Auteur]
Ren, Tiantian [Auteur]
Lille économie management - UMR 9221 [LEM]
Bai, Yanfei [Auteur]
Liu, Wenbin [Auteur]

Journal title :

Communications in Statistics - Theory and Methods

Pages :

2831-2868

Publisher :

Taylor & Francis

Publication date :

2020-06-17

ISSN :

0361-0926

HAL domain(s) :

Sciences de l'Homme et Société
Sciences de l'Homme et Société/Gestion et management

English abstract : [en]

In this paper, we discuss several different styles of multi-period mean-variance portfolio optimization problems under the serially correlated returns. We derive the time-consistent strategies for the classical multi-period ...
Show more >In this paper, we discuss several different styles of multi-period mean-variance portfolio optimization problems under the serially correlated returns. We derive the time-consistent strategies for the classical multi-period mean-variance optimization with and without risk-free asset using a backward induction approach. We also propose an alternative multi-period mean-variance model, and the corresponding time-consistent strategies are derived. Whereafter, we provide some portfolio evaluation indexes and perform extensive empirical studies based on real data, aiming to provide useful advice for investors. To a large extent, the empirical results answer one important and practical question: in actual investment situations, which strategy is preferred by different investors?Show less >

Language :

Anglais

Peer reviewed article :

Oui

Audience :

Internationale

Popular science :

Non

Collections :

• Lille Économie Management (LEM) - UMR 9221

Source :

Harvested from HAL