Mean-Variance portfolio optimization when each asset has individual uncertain exit-time

Reza Keykhaei

Abstract


The standard Markowitz Mean-Variance optimization model is a single-period portfolio selection approach where the exit-time (or the time-horizon) is deterministic. ‎In this paper we study the Mean-Variance portfolio selection problem ‎with ‎uncertain ‎exit-time ‎when ‎each ‎has ‎individual uncertain ‎xit-time‎, ‎which generalizes the Markowitz's model‎. ‎‎‎‎‎‎We provide some conditions under which the optimal portfolio of the generalized problem is independent of the exit-times distributions. Also, ‎‎it is shown that under some general circumstances, the sets of optimal portfolios‎ ‎in the generalized model and the standard model are the same‎.

Keywords


‎Mean-Variance portfolio optimization‎, ‎Optimal portfolio‎, ‎Uncertain exit-time‎, ‎Asset uncertain exit-time‎.

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DOI: http://dx.doi.org/10.18187/pjsor.v12i4.1251

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Title

Mean-Variance portfolio optimization when each asset has individual uncertain exit-time

Keywords

‎Mean-Variance portfolio optimization‎, ‎Optimal portfolio‎, ‎Uncertain exit-time‎, ‎Asset uncertain exit-time‎.

Description

The standard Markowitz Mean-Variance optimization model is a single-period portfolio selection approach where the exit-time (or the time-horizon) is deterministic. ‎In this paper we study the Mean-Variance portfolio selection problem ‎with ‎uncertain ‎exit-time ‎when ‎each ‎has ‎individual uncertain ‎xit-time‎, ‎which generalizes the Markowitz's model‎. ‎‎‎‎‎‎We provide some conditions under which the optimal portfolio of the generalized problem is independent of the exit-times distributions. Also, ‎‎it is shown that under some general circumstances, the sets of optimal portfolios‎ ‎in the generalized model and the standard model are the same‎.

Date

2016-12-01

Identifier


Source

Pakistan Journal of Statistics and Operation Research; Vol. 12 No. 4, 2016



Print ISSN: 1816-2711 | Electronic ISSN: 2220-5810