Mean-Variance Analysis in a Multiperiod Setting
Type
working paper
Date Issued
1997
Author(s)
Abstract
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 discretized with respect to time and space and summarized in a scenario tree. The resulting optimization problem is solved by means of stochastic multistage programming. The optimal solutions show equivalent structural properties as the classical approach, however, by taking rebalancing activities into consideration a different efficient frontier is obtained.
Language
English
HSG Classification
not classified
Refereed
No
Publisher
Institute for Operations Research, University of St. Gallen
Publisher place
St. Gallen, CH
Subject(s)
Division(s)
Eprints ID
7230
File(s)![Thumbnail Image]()
open.access
Name
Marko.pdf
Size
203.5 KB
Format
Adobe PDF
Checksum (MD5)
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