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MULTIPERIOD MEAN-VARIANCE PORTFOLIO OPTIMIZATION VIA MARKET CLONING
 

Summary: MULTIPERIOD MEAN-VARIANCE PORTFOLIO
OPTIMIZATION VIA MARKET CLONING
STEFAN ANKIRCHNER
Institut f¨ur Angewandte Mathematik
Hausdorff Center for Mathematics
Rheinische Friedrich-Wilhelms-Universt¨at Bonn
Endenicher Allee 60, 53115 Bonn - GERMANY
ankirchner@hcm.uni-bonn.de
AZZOUZ DERMOUNE
Universit´e des Sciences et Technologies de Lille
Laboratoire Paul Painleve UMR CNRS 8524
U.F.R. de Math´ematiques ­ Bt. M2
59655 Villeneuve d'Ascq Cedex France
Azzouz.Dermoune@math.univ-lille1.fr
June 17, 2010
Abstract
The problem of finding the mean variance optimal portfolio in a multiperiod model can
not be solved directly by means of dynamic programming. In order to find a solution we
therefore first introduce independent market clones having the same distributional properties
as the original market, and we replace the portfolio mean and variance by their empirical

  

Source: Ankirchner, Stefan - Institut für Angewandte Mathematik, Universität Bonn

 

Collections: Mathematics