Dynamic portfolio frontier in a mean-variance framework
AbstractThe dynamic portfolio frontier theory in a mean-variance framework previously developed by scholars suffers some limitations. Specifically, the theory assumes the use of the martingale approach, the assumption of a complete market and particular probability distribution of asset returns. Accordingly, under relaxing these limitations, this study develops a calculation process for explicitly deriving the dynamic portfolio frontier and the corresponding dynamic asset allocation. Finally, for comparison, this study provides a numerical example and then draws the dynamic and static portfolio frontiers on the same graph.
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Bibliographic InfoArticle provided by Taylor & Francis Journals in its journal Applied Financial Economics.
Volume (Year): 21 (2011)
Issue (Month): 17 ()
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Web page: http://www.tandfonline.com/RAFE20
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