• DocumentCode
    724006
  • 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
  • fYear
    2015
  • fDate
    23-25 May 2015
  • Firstpage
    1063
  • Lastpage
    1067
  • 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;
  • fLanguage
    English
  • Publisher
    ieee
  • Conference_Titel
    Control and Decision Conference (CCDC), 2015 27th Chinese
  • Conference_Location
    Qingdao
  • Print_ISBN
    978-1-4799-7016-2
  • Type

    conf

  • DOI
    10.1109/CCDC.2015.7162074
  • Filename
    7162074
    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=724006