DocumentCode
2161055
Title
Multi-period mean-variance portfolio optimization with intertemporal constraints
Author
Costa, O.L.V. ; Nabholz, R.B.
Author_Institution
Dept. de Eng. de Telecomunicac oes e Controle, Escola Politec. da Univ. de Sao Paulo, Sao Paulo, Brazil
fYear
2007
fDate
2-5 July 2007
Firstpage
3969
Lastpage
3976
Abstract
In this paper we investigate mean variance optimization problems that arise in portfolio selection. Restrictions on intermediate expected values or variances of the portfolio are considered in the optimization problem. Some explicit procedures for obtaining the solution of the problems are presented. The main advantage of this technique is that it is possible to control the intermediate behavior of a portfolio´s return or variance. Some examples illustrating these situations are presented.
Keywords
investment; optimisation; intertemporal constraints; mean variance optimization problems; multiperiod mean variance portfolio optimization; portfolio return; portfolio selection; Bismuth; Equations; Optimization; Portfolios; Resource management; Silicon; Vectors;
fLanguage
English
Publisher
ieee
Conference_Titel
Control Conference (ECC), 2007 European
Conference_Location
Kos
Print_ISBN
978-3-9524173-8-6
Type
conf
Filename
7068550
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