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Dynamic portfolio frontier in a mean-variance framework


  • Ching-Ping Wang
  • Hung-Hsi Huang
  • David Jou


The 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.

Suggested Citation

  • Ching-Ping Wang & Hung-Hsi Huang & David Jou, 2011. "Dynamic portfolio frontier in a mean-variance framework," Applied Financial Economics, Taylor & Francis Journals, vol. 21(17), pages 1255-1261.
  • Handle: RePEc:taf:apfiec:v:21:y:2011:i:17:p:1255-1261
    DOI: 10.1080/09603107.2011.568394

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