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A dynamic mean-variance analysis for log returns

Abstract:

We propose a dynamic portfolio choice model with the mean-variance criterion for log-returns. The model yields time-consistent portfolio policies and is analytically tractable even under some incomplete market settings. The portfolio policies conform with conventional investment wisdom (e.g. richer people should invest more absolute amount of money in risky assets; the longer investment time horizon, the more proportional amount of money should be invested in risky assets; and for long-term i...

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Publication status:
Published
Peer review status:
Peer reviewed

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Publisher copy:
10.1287/mnsc.2019.3493

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Institution:
University of Oxford
Division:
MPLS
Department:
Mathematical Institute
Oxford college:
St Peter's College
Role:
Author
ORCID:
0000-0001-5299-5730
Publisher:
INFORMS Publisher's website
Journal:
Management Science Journal website
Volume:
67
Issue:
2
Pages:
1093-1108
Publication date:
2020-05-20
Acceptance date:
2019-08-13
DOI:
EISSN:
1556-5068
ISSN:
0025-1909
Source identifiers:
1081281
Language:
English
Keywords:
Pubs id:
pubs:1081281
UUID:
uuid:37e829b8-6d4e-4b40-b7c3-edf866b9eba7
Local pid:
pubs:1081281
Deposit date:
2020-01-08

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