Time-consistent strategies for multi-period ...
Type de document :
Compte-rendu et recension critique d'ouvrage
Titre :
Time-consistent strategies for multi-period mean-variance portfolio optimization with the serially correlated returns
Auteur(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]
Titre de la revue :
Communications in Statistics - Theory and Methods
Pagination :
2831-2868
Éditeur :
Taylor & Francis
Date de publication :
2020-06-17
ISSN :
0361-0926
Discipline(s) HAL :
Sciences de l'Homme et Société/Gestion et management
Résumé en anglais : [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 ...
Lire la suite >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?Lire moins >
Lire la suite >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?Lire moins >
Langue :
Anglais
Vulgarisation :
Non
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