Mean Variance and Goal Achieving Portfolio for Discrete-time Market with Currently Observable Source of Correlations
نویسندگان
چکیده
The paper studies optimal portfolio selection for discrete time market models in meanvariance and goal achieving setting. The optimal strategies are obtained for models with an observed process that causes serial correlations of price changes. The optimal strategies are found to be myopic for the goal-achieving problem and quasi-myopic for the mean variance portfolio. Mathematics Subject Classification. 91B16, 91B70. Received July 11, 2008. Revised November 30, 2008. Published online June 18, 2009.
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تاریخ انتشار 2010