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- Title
Multiperiod Mean-Variance Portfolio Optimization via Market Cloning.
- Authors
Ankirchner, Stefan; Dermoune, Azzouz
- Abstract
The problem of finding the mean variance optimal portfolio in a multiperiod model can not be solved directly by means of dynamic programming. In order to find a solution we therefore first introduce independent market clones having the same distributional properties as the original market, and we replace the portfolio mean and variance by their empirical counterparts. We then use dynamic programming to derive portfolios maximizing a weighted sum of the empirical mean and variance. By letting the number of market clones converge to infinity we are able to solve the original mean variance problem.
- Subjects
MATHEMATICAL optimization; DYNAMIC programming; CLONES (Algebra); EMPIRICAL research; PROBLEM solving; VARIANCES; MATHEMATICAL analysis
- Publication
Applied Mathematics & Optimization, 2011, Vol 64, Issue 1, p135
- ISSN
0095-4616
- Publication type
Article
- DOI
10.1007/s00245-011-9134-0