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Time-Consistent Mean-Variance Portfolio Selection in Discrete and Continuous Time
mean-variance criterion Markowitz problem portfolio optimisation time consistency time-inconsistent optimal control
2012/6/5
It is well known that mean-variance portfolio selection is a time-inconsistent optimal control problem in the sense that it does not satisfy Bellman's optimality principle and therefore the usual dyna...
Portfolio Selection with Small Transaction Costs and Binding Portfolio Constraints
portfolio constraints transaction costs long-run portfolio choice
2012/6/5
An investor with constant relative risk aversion and an infinite planning horizon trades a risky and a safe asset with constant investment opportunities, in the presence of small transaction costs and...
A simple, yet reasonably accurate, analytical technique is proposed for multi-factor structural credit portfolio models. The accuracy of the technique is demonstrated by benchmarking against Monte Car...
When do improved covariance matrix estimators enhance portfolio optimization? An empirical comparative study of nine estimators
covariance matrix nine estimators portfolio optimization
2010/4/28
The use of improved covariance matrix estimators as an alternative to the sample estimator is considered an important approach for enhancing portfolio optimization. Here we empirically compare the per...
Optimal Liquidation Strategies Regularize Portfolio Selection
Expected Shortfall portfolio optimization market impact
2010/4/28
We consider the problem of portfolio optimization in the presence of market impact, and derive optimal liquidation strategies. We discuss in detail the problem of finding the optimal portfolio under E...