Mean-Variance Analysis in a Multiperiod Setting

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Frauendorfer, Karl; Siede, Heiko;
(1997)
  • Publisher: Institute for Operations Research, University of St. Gallen
  • Subject: other research area

Similar to the classical Markowitz approach it is possible to apply a mean-variance criterion to a multiperiod setting to obtain efficient portfolios. To represent the stochastic dynamic characteristics necessary for modelling returns a process of asset returns is discr... View more
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