Multiperiod Mean-Variance Portfolio Optimization via Market Cloning

Multiperiod Mean-Variance Portfolio Optimization via Market Cloning The problem of finding the mean variance optimal portfolio in a multiperiod model can not be solved directly by means of dynamic programming. In order to find a solution we therefore first introduce independent market clones having the same distributional properties as the original market, and we replace the portfolio mean and variance by their empirical counterparts. We then use dynamic programming to derive portfolios maximizing a weighted sum of the empirical mean and variance. By letting the number of market clones converge to infinity we are able to solve the original mean variance problem. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Applied Mathematics and Optimization Springer Journals

Multiperiod Mean-Variance Portfolio Optimization via Market Cloning

, Volume 64 (1) – Aug 1, 2011
20 pages

/lp/springer_journal/multiperiod-mean-variance-portfolio-optimization-via-market-cloning-oCTPtbqp0Q
Publisher
Springer-Verlag
Subject
Mathematics; Calculus of Variations and Optimal Control; Optimization; Mathematical Methods in Physics; Theoretical, Mathematical and Computational Physics; Systems Theory, Control; Numerical and Computational Physics
ISSN
0095-4616
eISSN
1432-0606
D.O.I.
10.1007/s00245-011-9134-0
Publisher site
See Article on Publisher Site

Abstract

The problem of finding the mean variance optimal portfolio in a multiperiod model can not be solved directly by means of dynamic programming. In order to find a solution we therefore first introduce independent market clones having the same distributional properties as the original market, and we replace the portfolio mean and variance by their empirical counterparts. We then use dynamic programming to derive portfolios maximizing a weighted sum of the empirical mean and variance. By letting the number of market clones converge to infinity we are able to solve the original mean variance problem.

Journal

Applied Mathematics and OptimizationSpringer Journals

Published: Aug 1, 2011

DeepDyve is your personal research library

It’s your single place to instantly
that matters to you.

over 18 million articles from more than
15,000 peer-reviewed journals.

All for just \$49/month

Search

Query the DeepDyve database, plus search all of PubMed and Google Scholar seamlessly

Organize

Save any article or search result from DeepDyve, PubMed, and Google Scholar... all in one place.

Access

Get unlimited, online access to over 18 million full-text articles from more than 15,000 scientific journals.

Read from thousands of the leading scholarly journals from SpringerNature, Elsevier, Wiley-Blackwell, Oxford University Press and more.

All the latest content is available, no embargo periods.

DeepDyve

DeepDyve

Pro

Price

FREE

\$49/month
\$360/year

Save searches from
PubMed

Create lists to

Export lists, citations