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- Title
LOUIS BACHELIER ON THE CENTENARY OF THÉORIE DE LA SPÉCULATION.
- Authors
Courtault, Jean-Michel; Kabanov, Yuri; Bru, Bernard; Crépel, Pierre; Lebon, Isabelle; Le Marchand, Arnaud
- Abstract
This article considers an analytical optimal solution to the mean-variance formulation in multiperiod selection. An efficient algorithm is also proposed for finding an optimal portfolio policy to maximize a utility function of the expected value and the variance of the terminal wealth. As per the knowledge, no analytical or efficient numerical method for finding the optimal portfolio policy for the multiperiod mean-variance formulation and determining the mean-variance efficient frontier has been reported in the literature. In this sense, the concept of the Hary Markowitz's mean-variance formulation has not been fully utilized in multiperiod portfolio selection. to capture the spirit of risk management in dynamic portfolio selection. The analytical result in single-period portfolio selection has been generalized in this paper to multiperiod portfolio selection. Analytical optimal portfolio policy is derived for the multiperiod mean-variance formulation along with the analytical expression of the mean-variance efficient frontier.
- Subjects
BACHELIER, Louis, b. 1870; INVESTMENTS; MATHEMATICIANS; VARIANCES; ALGORITHMS; UTILITY functions; MATHEMATICAL functions; MATHEMATICAL models
- Publication
Mathematical Finance, 2000, Vol 10, Issue 3, p339
- ISSN
0960-1627
- Publication type
Article
- DOI
10.1111/1467-9965.00098