Advanced Search
MyIDEAS: Login to save this article or follow this journal

Multi-Period Mean-Variance Analysis: Toward A General Theory of Portfolio Choice

Contents:

Author Info

  • Hakansson, Nils H
Registered author(s):

    Abstract

    No abstract is available for this item.

    Download Info

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
    File URL: http://links.jstor.org/sici?sici=0022-1082%28197109%2926%3A4%3C857%3AMMATAG%3E2.0.CO%3B2-8&origin=repec
    File Function: full text
    Download Restriction: Access to full text is restricted to JSTOR subscribers. See http://www.jstor.org for details.

    As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

    Bibliographic Info

    Article provided by American Finance Association in its journal Journal of Finance.

    Volume (Year): 26 (1971)
    Issue (Month): 4 (September)
    Pages: 857-84

    as in new window
    Handle: RePEc:bla:jfinan:v:26:y:1971:i:4:p:857-84

    Contact details of provider:
    Web page: http://www.afajof.org/
    More information through EDIRC

    Order Information:
    Web: http://www.afajof.org/membership/join.asp

    Related research

    Keywords:

    References

    No references listed on IDEAS
    You can help add them by filling out this form.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as in new window

    Cited by:
    1. Muteba Mwamba, John & Suteni, Mwambi, 2010. "An alternative to portfolio selection problem beyond Markowitz’s: Log Optimal Growth Portfolio," MPRA Paper 50240, University Library of Munich, Germany.
    2. Emanuela Sciubba, 2006. "The evolution of portfolio rules and the capital asset pricing model," Economic Theory, Springer, vol. 29(1), pages 123-150, September.
    3. Buckley, Winston S. & Brown, Garfield O. & Marshall, Mario, 2012. "A mispricing model of stocks under asymmetric information," European Journal of Operational Research, Elsevier, vol. 221(3), pages 584-592.
    4. Briec, Walter & Kerstens, Kristiaan, 2009. "Multi-horizon Markowitz portfolio performance appraisals: A general approach," Omega, Elsevier, vol. 37(1), pages 50-62, February.
    5. Zhang, Wei-Guo & Liu, Yong-Jun & Xu, Wei-Jun, 2012. "A possibilistic mean-semivariance-entropy model for multi-period portfolio selection with transaction costs," European Journal of Operational Research, Elsevier, vol. 222(2), pages 341-349.
    6. Guido Caldarelli & M. Piccioni & E. Sciubba, 2000. "A Numerical Study On The Evolution Of Portfolio Rules," Computing in Economics and Finance 2000 334, Society for Computational Economics.
    7. Alexandra Rodkina & Nikolai Dokuchaev, 2014. "On asymptotic optimality of Merton's myopic portfolio strategies for discrete time market," Papers 1403.4329, arXiv.org.
    8. Ye, Jun & Li, Tiantian, 2012. "The optimal mean–variance investment strategy under value-at-risk constraints," Insurance: Mathematics and Economics, Elsevier, vol. 51(2), pages 344-351.
    9. LeBaron, Blake, 2012. "Wealth dynamics and a bias toward momentum trading," Finance Research Letters, Elsevier, vol. 9(1), pages 21-28.
    10. G. Caldarelli & M. Piccioni & E. Sciubba, 2000. "A Numerical Study on the Evolution of Portfolio Rules: Is CAPM Fit for Nasdaq?," Papers cond-mat/0009437, arXiv.org.
    11. Estada, Javier, 2003. "Mean-semivariance behavior: An alternative behavioral model," IESE Research Papers D/492, IESE Business School.
    12. Blake LeBaron, 2011. "Active and Passive Learning in Agent-based Financial Markets," Eastern Economic Journal, Palgrave Macmillan, vol. 37(1), pages 35-43.
    13. Castellano, Rosella & Cerqueti, Roy, 2014. "Mean–Variance portfolio selection in presence of infrequently traded stocks," European Journal of Operational Research, Elsevier, vol. 234(2), pages 442-449.
    14. Chamberlain, Trevor W., 1996. "The investment decisions of individuals and firms," International Review of Financial Analysis, Elsevier, vol. 5(2), pages 87-97.
    15. Dokuchaev, Nikolai, 2007. "Discrete time market with serial correlations and optimal myopic strategies," European Journal of Operational Research, Elsevier, vol. 177(2), pages 1090-1104, March.
    16. Zhang, Xili & Zhang, Weiguo & Xiao, Weilin, 2013. "Multi-period portfolio optimization under possibility measures," Economic Modelling, Elsevier, vol. 35(C), pages 401-408.
    17. Heping XIONG & Jingming ZHOU, 2013. "On Tobin's Multiperiod Portfolio Theorem," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(3), pages 199-208, October.
    18. Eckhard Platen, 2005. "Investments for the Short and Long Run," Research Paper Series 163, Quantitative Finance Research Centre, University of Technology, Sydney.

    Lists

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    Statistics

    Access and download statistics

    Corrections

    When requesting a correction, please mention this item's handle: RePEc:bla:jfinan:v:26:y:1971:i:4:p:857-84. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley-Blackwell Digital Licensing) or (Christopher F. Baum).

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.