Continuous-time Markowitz＇s by parameterizing a critical quantity. It mean-variance efficient strategies are modified is shown that these parameterized Markowitz strategies could reach the original mean target with a...Continuous-time Markowitz＇s by parameterizing a critical quantity. It mean-variance efficient strategies are modified 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.展开更多
基金supported by the National Natural Science Foundation of China (10571167)the National Basic Research Program of China (973 Program, 2007CB814902)+2 种基金the Science Fund for Creative Research Groups (10721101)supported by the Nomura Centrefor Mathematical Finance and the Oxford–Man Institute of Quantitative Financea start-up fund of the University of Oxford
文摘Continuous-time Markowitz＇s by parameterizing a critical quantity. It mean-variance efficient strategies are modified 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.
