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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. https://doi.org/10.18187/pjsor.v12i4.1251