Abstract
In this paper we propose a variant of the continuous-time Markowitz mean-variance
model by incorporating the Earnings-at-Risk measure in the portfolio optimization problem. Under the Black-Scholes framework, we obtain closed-form expressions for the optimal constant-rebalanced portfolio (CRP) investment strategy. We also derive explicitly
the corresponding mean-EaR efficient portfolio frontier, which is a generalization of the
Markowitz mean-variance efficient frontier.
model by incorporating the Earnings-at-Risk measure in the portfolio optimization problem. Under the Black-Scholes framework, we obtain closed-form expressions for the optimal constant-rebalanced portfolio (CRP) investment strategy. We also derive explicitly
the corresponding mean-EaR efficient portfolio frontier, which is a generalization of the
Markowitz mean-variance efficient frontier.
| Original language | English |
|---|---|
| Pages (from-to) | 951-966 |
| Journal | International Journal of Theoretical and Applied Finance |
| Volume | 9 |
| Issue number | 6 |
| DOIs | |
| Publication status | Published - 2006 |
| Externally published | Yes |