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markowitzstrategiesrevised
Yan Jiaan1; Zhou Xunyu2
2009
Source Publicationactamathematicascientia
ISSN0252-9602
Volume29Issue:4Pages:817
AbstractContinuous-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.
Language英语
Funding Project[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]
Document Type期刊论文
Identifierhttp://ir.amss.ac.cn/handle/2S8OKBNM/48322
Collection应用数学研究所
Affiliation1.中国科学院数学与系统科学研究院
2.牛津大学
Recommended Citation
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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