A closed-form solution to a dynamic portfolio optimization problem

Zhong Fei Li; Kai W. Ng; Ken Seng Tan; Hailiang Yang

A closed-form solution to a dynamic portfolio optimization problem

Zhong Fei Li^*
, Kai W. Ng
, Ken Seng Tan
, Hailiang Yang

^*Corresponding author for this work

Sun Yat-Sen University
The University of Hong Kong
University of Waterloo

Research output: Contribution to journal › Article › peer-review

1 Citation (Scopus)

Abstract

In this paper we consider a continuous-time Markowitz mean-variance type portfolio optimization problem where the variance is replaced by a Earnings-at-Risk (EaR) of terminal wealth. In a Black-Scholes setting of financial markets, we obtain closed-form expressions for best constant-rebalanced portfolio investment strategies and the mean-EaR efficient frontier.

Original language	English
Pages (from-to)	517-526
Number of pages	10
Journal	Dynamics of Continuous, Discrete and Impulsive Systems Series B: Applications and Algorithms
Volume	12
Issue number	4
Publication status	Published - Aug 2005
Externally published	Yes

Keywords

Black-scholes model
Constant-rebalanced portfolios
Dynamic portfolio selection
Earnings-at-Risk

Cite this

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title = "A closed-form solution to a dynamic portfolio optimization problem",

abstract = "In this paper we consider a continuous-time Markowitz mean-variance type portfolio optimization problem where the variance is replaced by a Earnings-at-Risk (EaR) of terminal wealth. In a Black-Scholes setting of financial markets, we obtain closed-form expressions for best constant-rebalanced portfolio investment strategies and the mean-EaR efficient frontier.",

keywords = "Black-scholes model, Constant-rebalanced portfolios, Dynamic portfolio selection, Earnings-at-Risk",

author = "Li, \{Zhong Fei\} and Ng, \{Kai W.\} and Tan, \{Ken Seng\} and Hailiang Yang",

year = "2005",

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T1 - A closed-form solution to a dynamic portfolio optimization problem

AU - Li, Zhong Fei

AU - Ng, Kai W.

AU - Tan, Ken Seng

AU - Yang, Hailiang

PY - 2005/8

Y1 - 2005/8

N2 - In this paper we consider a continuous-time Markowitz mean-variance type portfolio optimization problem where the variance is replaced by a Earnings-at-Risk (EaR) of terminal wealth. In a Black-Scholes setting of financial markets, we obtain closed-form expressions for best constant-rebalanced portfolio investment strategies and the mean-EaR efficient frontier.

AB - In this paper we consider a continuous-time Markowitz mean-variance type portfolio optimization problem where the variance is replaced by a Earnings-at-Risk (EaR) of terminal wealth. In a Black-Scholes setting of financial markets, we obtain closed-form expressions for best constant-rebalanced portfolio investment strategies and the mean-EaR efficient frontier.

KW - Black-scholes model

KW - Constant-rebalanced portfolios

KW - Dynamic portfolio selection

KW - Earnings-at-Risk

UR - https://www.scopus.com/pages/publications/26444515603

M3 - Article

AN - SCOPUS:26444515603

SN - 1492-8760

VL - 12

SP - 517

EP - 526

JO - Dynamics of Continuous, Discrete and Impulsive Systems Series B: Applications and Algorithms

JF - Dynamics of Continuous, Discrete and Impulsive Systems Series B: Applications and Algorithms

IS - 4

ER -

A closed-form solution to a dynamic portfolio optimization problem

Abstract

Keywords

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