Time-consistent strategies for multi-period mean-variance portfolio optimization with the serially correlated returns

Helu Xiao, Zhongbao Zhou, Tiantian Ren, Yanfei Bai and Wenbin Liu
Additional contact information
Tiantian Ren: LEM - Lille économie management - UMR 9221 - UA - Université d'Artois - UCL - Université catholique de Lille - Université de Lille - CNRS - Centre National de la Recherche Scientifique

Post-Print from HAL

Abstract: In this paper, we discuss several different styles of multi-period mean-variance portfolio optimization problems under the serially correlated returns. We derive the time-consistent strategies for the classical multi-period mean-variance optimization with and without risk-free asset using a backward induction approach. We also propose an alternative multi-period mean-variance model, and the corresponding time-consistent strategies are derived. Whereafter, we provide some portfolio evaluation indexes and perform extensive empirical studies based on real data, aiming to provide useful advice for investors. To a large extent, the empirical results answer one important and practical question: in actual investment situations, which strategy is preferred by different investors?

Date: 2020-06-17
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Published in Communications in Statistics - Theory and Methods, 2020, 49 (12), pp.2831-2868. ⟨10.1080/03610926.2019.1636999⟩

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

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:hal:journl:hal-03281772

DOI: 10.1080/03610926.2019.1636999

Access Statistics for this paper

More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD ().