Optimal Dynamic Portfolio Selection: Multiperiod Mean-Variance Formulation
The mean-variance formulation by Markowitz in the 1950s paved a foundation for modern portfolio selection analysis in a single period. This paper considers an analytical optimal solution to the mean-variance formulation in multiperiod portfolio selection. Specifically, analytical optimal portfolio policy and analytical expression of the mean-variance efficient frontier are derived in this paper for the multiperiod mean-variance formulation. An efficient algorithm is also proposed for finding an optimal portfolio policy to maximize a utility function of the expected value and the variance of the terminal wealth. Copyright Blackwell Publishers Inc. 2000.
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Volume (Year): 10 (2000)
Issue (Month): 3 ()
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