Time-consistent strategies for multi-period ...
Document type :
Article dans une revue scientifique
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]
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
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 >
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
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