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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.


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

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How to Cite
Keykhaei, R. (2016). Mean-Variance portfolio optimization when each asset has individual uncertain exit-time. Pakistan Journal of Statistics and Operation Research, 12(4), 765-773.