摘要
Allowing for correlated squared returns across two consecutive periods,portfolio theory for two periods is developed.This correlation makes it necessary to work with non-Gaussian models.The two-period conic portfolio problem is formulated and implemented.This development leads to a mean ask price frontier,where the latter employs concave distortions.The modeling permits access to skewness via randomized drifts.Optimal portfolios maximize a conservative market value seen as a bid price for the portfolio.On the mean ask price frontier we observe a tradeoff between the deterministic and random drifts and the volatility costs of increasing the deterministic drift.From a historical perspective,we also implement a mean-variance analysis.The resulting mean-variance frontier is three-dimensional expressing the minimal variance as a function of the targeted levels for the deterministic and random drift.
