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A Multi-Period Portfolio Selection in a Large Financial Market

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  • N'Golo Kone

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  • N'Golo Kone, 2020. "A Multi-Period Portfolio Selection in a Large Financial Market," Working Paper 1439, Economics Department, Queen's University.
    • Handle: RePEc:qed:wpaper:1439
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    File URL: https://www.econ.queensu.ca/sites/econ.queensu.ca/files/wpaper/qed_wp_1439.pdf
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    References listed on IDEAS

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    1. Penev, Spiridon & Shevchenko, Pavel V. & Wu, Wei, 2019. "The impact of model risk on dynamic portfolio selection under multi-period mean-standard-deviation criterion," European Journal of Operational Research, Elsevier, vol. 273(2), pages 772-784.
    2. Carrasco, Marine, 2012. "A regularization approach to the many instruments problem," Journal of Econometrics, Elsevier, vol. 170(2), pages 383-398.
    3. Ma, Guiyuan & Siu, Chi Chung & Zhu, Song-Ping, 2019. "Dynamic portfolio choice with return predictability and transaction costs," European Journal of Operational Research, Elsevier, vol. 278(3), pages 976-988.
    4. Bauder, David & Bodnar, Taras & Parolya, Nestor & Schmid, Wolfgang, 2020. "Bayesian inference of the multi-period optimal portfolio for an exponential utility," Journal of Multivariate Analysis, Elsevier, vol. 175(C).
    5. J. Tobin, 1958. "Liquidity Preference as Behavior Towards Risk," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 25(2), pages 65-86.
    6. Suleyman Basak & Georgy Chabakauri, 2010. "Dynamic Mean-Variance Asset Allocation," Review of Financial Studies, Society for Financial Studies, vol. 23(8), pages 2970-3016, August.
    7. Jiaqin Chen & Ming Yuan, 2016. "Efficient Portfolio Selection in a Large Market," Journal of Financial Econometrics, Oxford University Press, vol. 14(3), pages 496-524.
    8. Taras Bodnar & Nestor Parolya & Wolfgang Schmid, 2015. "A closed-form solution of the multi-period portfolio choice problem for a quadratic utility function," Annals of Operations Research, Springer, vol. 229(1), pages 121-158, June.
    9. Heaton, John & Lucas, Deborah J, 1996. "Evaluating the Effects of Incomplete Markets on Risk Sharing and Asset Pricing," Journal of Political Economy, University of Chicago Press, vol. 104(3), pages 443-487, June.
    10. Michael W. Brandt & Pedro Santa‐Clara, 2006. "Dynamic Portfolio Selection by Augmenting the Asset Space," Journal of Finance, American Finance Association, vol. 61(5), pages 2187-2217, October.
    11. Bodnar, Taras & Gupta, Arjun K. & Parolya, Nestor, 2016. "Direct shrinkage estimation of large dimensional precision matrix," Journal of Multivariate Analysis, Elsevier, vol. 146(C), pages 223-236.
    12. Ledoit, Olivier & Wolf, Michael, 2003. "Improved estimation of the covariance matrix of stock returns with an application to portfolio selection," Journal of Empirical Finance, Elsevier, vol. 10(5), pages 603-621, December.
    13. Robert Tibshirani & Michael Saunders & Saharon Rosset & Ji Zhu & Keith Knight, 2005. "Sparsity and smoothness via the fused lasso," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 67(1), pages 91-108, February.
    14. Jorion, Philippe, 1986. "Bayes-Stein Estimation for Portfolio Analysis," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 21(3), pages 279-292, September.
    15. Elton, Edwin J & Gruber, Martin J, 1974. "On the Optimality of Some Multiperiod Portfolio Selection Criteria," The Journal of Business, University of Chicago Press, vol. 47(2), pages 231-243, April.
    16. Duan Li & Wan‐Lung Ng, 2000. "Optimal Dynamic Portfolio Selection: Multiperiod Mean‐Variance Formulation," Mathematical Finance, Wiley Blackwell, vol. 10(3), pages 387-406, July.
    17. Merton, Robert C, 1969. "Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case," The Review of Economics and Statistics, MIT Press, vol. 51(3), pages 247-257, August.
    18. Bodnar, Taras & Okhrin, Ostap & Parolya, Nestor, 2019. "Optimal shrinkage estimator for high-dimensional mean vector," Journal of Multivariate Analysis, Elsevier, vol. 170(C), pages 63-79.
    19. Touloumis, Anestis, 2015. "Nonparametric Stein-type shrinkage covariance matrix estimators in high-dimensional settings," Computational Statistics & Data Analysis, Elsevier, vol. 83(C), pages 251-261.
    20. Nicholas Barberis, 2000. "Investing for the Long Run when Returns Are Predictable," Journal of Finance, American Finance Association, vol. 55(1), pages 225-264, February.
    21. Victor DeMiguel & Alberto Martín-Utrera & Francisco J Nogales & Raman Uppal & Andrew KarolyiEditor, 2020. "A Transaction-Cost Perspective on the Multitude of Firm Characteristics," Review of Financial Studies, Society for Financial Studies, vol. 33(5), pages 2180-2222.
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    Cited by:

    1. N'Golo Kone, 2021. "Efficient mean-variance portfolio selection by double regularization," Working Paper 1453, Economics Department, Queen's University.

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