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A mean-variance frontier in discrete and continuous time

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  • Bekker, Paul A.

    (Groningen University)

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    Abstract

    The paper presents a mean-variance frontier based on dynamic frictionless investment strategies in continuous time. The result applies to a finite number of risky assets whose price process is given by multivariate geometric Brownian motion with deterministically varying coefficients. The derivation is based on the solution for the frontier in discrete time. Using the same multiperiod framework as Li and Ng (2000), I provide an alternative derivation and an alternative formulation of the solution. It allows for a nice asymptotic formulation of the efficient hyperbola and its underlying efficient processes that applies in continuous time.

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    File URL: http://irs.ub.rug.nl/ppn/265956366
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    Bibliographic Info

    Paper provided by University of Groningen, CCSO Centre for Economic Research in its series CCSO Working Papers with number 200406.

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    Date of creation: 2004
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    Handle: RePEc:dgr:rugccs:200406

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