A Multi-Period Mean-Variance Portfolio Selection Problem

Oswaldo Luiz do Valle Costa () and Rodrigo de Barros Nabholz ()
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Oswaldo Luiz do Valle Costa: Escola Politécnica da Universidade de São Paulo (USP)

Brazilian Review of Finance, 2005, vol. 3, issue 1, 101-121

Abstract: In a recent paper, Li and Ng (2000) considered the multi-period mean variance optimization problem, with investing horizon T, for the case in which only the final variance Var(V(T)) or expected value of the portfolio E(V(T)) are considered in the optimization problem. In this paper we extend their results to the case in which the intermediate expected values E(V(t)) and variances Var(V(t)) for t = 1,,T can also be taken into account in the optimization problem. The main advantage of this technique is that it is possible to control the intermediate behavior of the portfolios return or variance. An example illustrating this situation is presented.

Keywords: portoflio choice; multi-peiord optimization; mean variance analysis (search for similar items in EconPapers)
JEL-codes: C61 C63 G11 (search for similar items in EconPapers)
Date: 2005
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