機率研討會

主講者: 李仲飛 教授 (廣州中山大學)
講題: Dynamic Portfolio Selection Based on Serially Correlated Return---Multiperiod Mean-Variance Model
時間: 2007-12-27 (Thu.)  10:30 - 11:30
地點:
Abstract: This talk concerns about dynamic portfolio selection based on serially correlated returns. We fist establish a multiperiod mean-variance model. Then by using dynamic programming, we derive an analytical expression for the optimal investment strategy. We also analyze the optimal wealth growth path and the efficient frontier. It is found that the optimal strategy makes the expected wealth growth faster than the riskless asset in the whole investment horizon, while possibly slower than the riskless asset in some periods before the terminal time, and that longer horizons are averagely beneficial to the investor. In addition, we get an index measuring investment value of risk assets, which can reflect the impact of serial correlations of returns on investment value. At last an example of AR(1) process is used to illustrate the impact of serial correlations on the optimal strategy.
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