Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
4664353 | Acta Mathematica Scientia | 2009 | 12 Pages |
Abstract
Continuous-time Markowitz's mean-variance efficient strategies are modified by parameterizing a critical quantity. It is shown that these parameterized Markowitz strategies could reach the original mean target with arbitrarily high probabilities. This, in turn, motivates the introduction of certain stopped strategies where stock holdings are liquidated whenever the parameterized Markowitz strategies reach the present value of the mean target. The risk aspect of the revised Markowitz strategies are examined via expected discounted loss from the initial budget. A new portfolio selection model is suggested based on the results of the paper.
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Physical Sciences and Engineering
Mathematics
Mathematics (General)