Dynamic portfolio frontier in a mean-variance framework

Ching-Ping Wang, Hung-Hsi Huang and David Jou

Applied Financial Economics, 2011, vol. 21, issue 17, 1255-1261

Abstract: The dynamic portfolio frontier theory in a mean-variance framework previously developed by scholars suffers some limitations. Specifically, the theory assumes the use of the martingale approach, the assumption of a complete market and particular probability distribution of asset returns. Accordingly, under relaxing these limitations, this study develops a calculation process for explicitly deriving the dynamic portfolio frontier and the corresponding dynamic asset allocation. Finally, for comparison, this study provides a numerical example and then draws the dynamic and static portfolio frontiers on the same graph.

Keywords: portfolio choice; dynamic portfolio frontier; dynamic asset allocation; mean-variance frontier (search for similar items in EconPapers)
Date: 2011
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DOI: 10.1080/09603107.2011.568394

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