Discrete and continuous time dynamic mean-variance analysis

Research, Preprint OPEN
Reiss, Ariane;
(1999)
  • Publisher: Tübingen: Eberhard Karls Universität Tübingen, Wirtschaftswissenschaftliche Fakultät
  • Subject: Dynamic Optimization,Growth Optimum Portfolio,Mean-Variance-Efficiency,Minimum Deviation,Portfolio Selection,Two-Fund Theorem | G11 | Portfolio Selection | Growth Optimum Portfolio | Dynamic Optimization | Dynamische Optimierung | Minimum Deviation | Mean-Variance-Efficiency | Two-Fund Theorem | Portfolio-Management | Maßzahl | Theorie | C61
    • jel: jel:G11 | jel:C61
      ddc: ddc:330

Contrary to static mean-variance analysis, very few papers have dealt with dynamic mean-variance analysis. Here, the mean-variance efficient self-financing portfolio strategy is derived for n risky assets in discrete and continuous time. In the discrete setting, the res... View more
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