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Multi-Period Portfolio Selection with Stochastic Investment Horizon

In: Optimization and Control for Systems in the Big-Data Era

Author

Listed:
  • Lan Yi

    (Jinan University)

Abstract

It is often the case that some unexpected events may force an investor to terminate her investment and exit the financial market. In this work, the mean-variance formulation of multi-period portfolio optimization with stochastic investment horizon is considered. Given the distribution of the uncertain investment horizon, the problem under investigation can be formulated as a nonseparable dynamic problem. By making use of the embedding technique of Li and Ng (Math Financ 4(2):387–406, 2000), an analytical optimal strategy and an analytical expression of the mean-variance efficient frontier for the mean-variance formulation of the problem are achieved. Two special cases are also discussed in this work.

Suggested Citation

  • Lan Yi, 2017. "Multi-Period Portfolio Selection with Stochastic Investment Horizon," International Series in Operations Research & Management Science, in: Tsan-Ming Choi & Jianjun Gao & James H. Lambert & Chi-Kong Ng & Jun Wang (ed.), Optimization and Control for Systems in the Big-Data Era, chapter 0, pages 217-241, Springer.
    • Handle: RePEc:spr:isochp:978-3-319-53518-0_12
    DOI: 10.1007/978-3-319-53518-0_12
    as

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