Multiperiod Mean-Variance Optimization with Intertemporal Restrictions

O. L. V. Costa () and R. B. Nabholz
Additional contact information
O. L. V. Costa: Escola Politécnica da Universidade de São Paulo
R. B. Nabholz: Escola Politécnica da Universidade de São Paulo

Journal of Optimization Theory and Applications, 2007, vol. 134, issue 2, No 7, 257-274

Abstract: Abstract We investigate mean-variance optimization problems that arise in portfolio selection. Restrictions on intermediate expected values or variances of the portfolio are considered. Some explicit procedures for obtaining the solution are presented. The main advantage of this technique is that it is possible to control the intermediate behavior of a portfolio’s return or variance. Some examples illustrating these situations are presented.

Keywords: Multiperiod optimization; Mean-variance analysis; Portfolio selection; Intermediate restrictions (search for similar items in EconPapers)
Date: 2007
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
http://link.springer.com/10.1007/s10957-007-9233-x Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:joptap:v:134:y:2007:i:2:d:10.1007_s10957-007-9233-x

Ordering information: This journal article can be ordered from
http://www.springer. ... cs/journal/10957/PS2

DOI: 10.1007/s10957-007-9233-x

Access Statistics for this article

Journal of Optimization Theory and Applications is currently edited by Franco Giannessi and David G. Hull

More articles in Journal of Optimization Theory and Applications from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().