Title :
Optimal multi-period mean-variance policy with management costs
Author :
Xiangyu Cui ; Jianjun Gao ; Yun Shi
Author_Institution :
Sch. of Stat. & Manage., Shanghai Univ. of Finance & Econ., Shanghai, China
Abstract :
In this paper, we consider multi-period mean-variance portfolio selection problem with proportional management costs and solve the problem semi-analytically. We show that the optimal investment policy takes piecewise linear form of current wealth level. A numerical example is also presented to reveal the influence of management costs.
Keywords :
costing; investment; statistical analysis; multiperiod mean-variance portfolio selection problem; optimal multiperiod mean-variance policy; piecewise linear form; proportional management cost; Economics; Investment; Mathematical model; Numerical models; Portfolios; duality theory; multi-period mean-variance model; proportional management costs;
Conference_Titel :
Control and Decision Conference (CCDC), 2015 27th Chinese
Conference_Location :
Qingdao
Print_ISBN :
978-1-4799-7016-2
DOI :
10.1109/CCDC.2015.7162074
