KMS Of Academy of mathematics and systems sciences, CAS
| markowitzstrategiesrevised | |
Yan Jiaan1 ; Zhou Xunyu2
| |
| 2009 | |
| 发表期刊 | actamathematicascientia
 |
| ISSN | 0252-9602 |
| 卷号 | 29期号:4页码:817 |
| 摘要 | Continuous-time Markowitz's mean-variance efficient strategies are modified by parameterizing a critical quantity. It is shown that these parameterized Markowitz strategies could reach the original mean target with arbitrarily high probabilities. This, in turn, motivates the introduction of certain stopped strategies where stock holdings are liquidated whenever the parameterized Markowitz strategies reach the present value of the mean target. The risk aspect of the revised Markowitz strategies are examined via expected discounted loss from the initial budget. A new portfolio selection model is suggested based on the results of the paper. |
| 语种 | 英语 |
| 资助项目 | [National Natural Science Foundation of China] ; [National Basic Research Program of China] ; [Science Fund for Creative Research Groups] ; [Nomura Centre for Mathematical Finance] ; [Oxford-Man Institute of Quantitative Finance] ; [University of Oxford] |
| 文献类型 | 期刊论文 |
| 条目标识符 | http://ir.amss.ac.cn/handle/2S8OKBNM/48322 |
| 专题 | 应用数学研究所 |
| 作者单位 | 1.中国科学院数学与系统科学研究院 2.牛津大学 |
| 推荐引用方式 GB/T 7714 | Yan Jiaan,Zhou Xunyu. markowitzstrategiesrevised[J]. actamathematicascientia,2009,29(4):817. |
| APA | Yan Jiaan,&Zhou Xunyu.(2009).markowitzstrategiesrevised.actamathematicascientia,29(4),817. |
| MLA | Yan Jiaan,et al."markowitzstrategiesrevised".actamathematicascientia 29.4(2009):817. |
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