Optimal multi-period mean-variance policy under no-shorting constraint

doi:10.1016/j.ejor.2013.02.040

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	Optimal multi-period mean-variance policy under no-shorting constraint
	Cui, Xiangyu 1; Gao, Jianjun 2; Li, Xun 3; Li, Duan 4
刊名	EUROPEAN JOURNAL OF OPERATIONAL RESEARCH
	2014-04-16
卷号	234 期号:2 页码:459-468
关键词	Multi-period portfolio selection Multi-period mean-variance formulation Expected utility maximization No-shorting
ISSN号	0377-2217
DOI	10.1016/j.ejor.2013.02.040
英文摘要	We consider in this paper the mean-variance formulation in multi-period portfolio selection under noshorting constraint. Recognizing the structure of a piecewise quadratic value function, we prove that the optimal portfolio policy is piecewise linear with respect to the current wealth level, and derive the semi-analytical expression of the piecewise quadratic value function. One prominent feature of our findings is the identification of a deterministic time-varying threshold for the wealth process and its implications for market settings. We also generalize our results in the mean-variance formulation to utility maximization with no-shorting constraint. (C) 2012 Elsevier B.V. All rights reserved.
WOS研究方向	Business & Economics ; Operations Research & Management Science
语种	英语
出版者	ELSEVIER SCIENCE BV
WOS记录号	WOS:000330750400013
内容类型	期刊论文
源URL	[http://10.2.47.112/handle/2XS4QKH4/1770]
专题	上海财经大学
通讯作者	Li, Duan
作者单位	1.Shanghai Univ Finance & Econ, Sch Stat & Management, Shanghai, Peoples R China; 2.Shanghai Jiao Tong Univ, Dept Automat, Shanghai 200030, Peoples R China; 3.Hong Kong Polytech Univ, Dept Appl Math, Hong Kong, Hong Kong, Peoples R China; 4.Chinese Univ Hong Kong, Dept Syst Engn & Engn Management, Hong Kong, Hong Kong, Peoples R China
推荐引用方式 GB/T 7714	Cui, Xiangyu,Gao, Jianjun,Li, Xun,et al. Optimal multi-period mean-variance policy under no-shorting constraint[J]. EUROPEAN JOURNAL OF OPERATIONAL RESEARCH,2014,234(2):459-468.
APA	Cui, Xiangyu,Gao, Jianjun,Li, Xun,&Li, Duan.(2014).Optimal multi-period mean-variance policy under no-shorting constraint.EUROPEAN JOURNAL OF OPERATIONAL RESEARCH,234(2),459-468.
MLA	Cui, Xiangyu,et al."Optimal multi-period mean-variance policy under no-shorting constraint".EUROPEAN JOURNAL OF OPERATIONAL RESEARCH 234.2(2014):459-468.