Continuous-time mean-variance efficiency: the 80% rule

Xun Li and Xun Yu Zhou

Papers from arXiv.org

Abstract: This paper studies a continuous-time market where an agent, having specified an investment horizon and a targeted terminal mean return, seeks to minimize the variance of the return. The optimal portfolio of such a problem is called mean-variance efficient \`{a} la Markowitz. It is shown that, when the market coefficients are deterministic functions of time, a mean-variance efficient portfolio realizes the (discounted) targeted return on or before the terminal date with a probability greater than 0.8072. This number is universal irrespective of the market parameters, the targeted return and the length of the investment horizon.

Date: 2007-02
References: View references in EconPapers View complete reference list from CitEc
Citations:

Published in Annals of Applied Probability 2006, Vol. 16, No. 4, 1751-1763

Downloads: (external link)
http://arxiv.org/pdf/math/0702249 Latest version (application/pdf)

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:arx:papers:math/0702249

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().