KMS Of Academy of mathematics and systems sciences, CAS
| MARKOWITZ STRATEGIES REVISED | |
Yan Jia-an1 ; Zhou Xunyu2,3,4
| |
| 2009-07-01 | |
| 发表期刊 | ACTA MATHEMATICA SCIENTIA
 |
| ISSN | 0252-9602 |
| 卷号 | 29期号:4页码:817-828 |
| 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. |
| 关键词 | continuous-time portfolio selection Markowitz efficient strategies goal-reaching probability stopping time expected loss |
| 语种 | 英语 |
| 资助项目 | National Natural Science Foundation of China[10571167] ; National Basic Research Program of China[2007CB814902] ; Science Fund for Creative Research Groups[10721101] ; Nomura Centre for Mathematical Finance ; Oxford-Man Institute of Quantitative Finance ; University of Oxford |
| WOS研究方向 | Mathematics |
| WOS类目 | Mathematics |
| WOS记录号 | WOS:000272545200003 |
| 出版者 | ELSEVIER SCIENCE INC |
| 引用统计 | |
| 文献类型 | 期刊论文 |
| 条目标识符 | http://ir.amss.ac.cn/handle/2S8OKBNM/8021 |
| 专题 | 应用数学研究所 |
| 通讯作者 | Yan Jia-an |
| 作者单位 | 1.Chinese Acad Sci, Acad Math & Syst Sci, Inst Appl Math, Beijing 100190, Peoples R China 2.Univ Oxford, Nomura Ctr Math Finance, Oxford OX1 3LB, England 3.Univ Oxford, Oxford Man Inst Quantitat Finance, Oxford OX1 3LB, England 4.Chinese Univ Hong Kong, Dept Syst Engn & Engn Management, Shatin, Hong Kong, Peoples R China |
| 推荐引用方式 GB/T 7714 | Yan Jia-an,Zhou Xunyu. MARKOWITZ STRATEGIES REVISED[J]. ACTA MATHEMATICA SCIENTIA,2009,29(4):817-828. |
| APA | Yan Jia-an,&Zhou Xunyu.(2009).MARKOWITZ STRATEGIES REVISED.ACTA MATHEMATICA SCIENTIA,29(4),817-828. |
| MLA | Yan Jia-an,et al."MARKOWITZ STRATEGIES REVISED".ACTA MATHEMATICA SCIENTIA 29.4(2009):817-828. |
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