English, Article edition: OPTIMAL CONSTANT-REBALANCED PORTFOLIO INVESTMENT STRATEGIES FOR DYNAMIC PORTFOLIO SELECTION ZHONG-FEI LI; KAI W. NG; KEN SENG TAN; ...

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Physical Description
  • article
Language
  • English

Edition details

Title
  • OPTIMAL CONSTANT-REBALANCED PORTFOLIO INVESTMENT STRATEGIES FOR DYNAMIC PORTFOLIO SELECTION
Author
  • ZHONG-FEI LI
  • KAI W. NG
  • KEN SENG TAN
  • HAILIANG YANG
Physical Description
  • article
Notes
  • 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.
  • Dynamic portfolio optimization, earnings-at-risk, constant-rebalanced portfolios, Black-Scholes model
  • RePEc:wsi:ijtafx:v:09:y:2006:i:06:p:951-966
Language
  • English
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