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Article: A closed-form solution to a dynamic portfolio optimization problem

TitleA closed-form solution to a dynamic portfolio optimization problem
Authors
KeywordsBlack-scholes model
Constant-rebalanced portfolios
Dynamic portfolio selection
Earnings-at-Risk
Issue Date2005
PublisherWatam Press.
Citation
Dynamics Of Continuous, Discrete And Impulsive Systems Series B: Applications And Algorithms, 2005, v. 12 n. 4, p. 517-526 How to Cite?
AbstractIn this paper we consider a continuous-time Markowitz mean-variance type portfolio optimization problem where the variance is replaced by a Earnings-at-Risk (EaR) of terminal wealth. In a Black-Scholes setting of financial markets, we obtain closed-form expressions for best constant-rebalanced portfolio investment strategies and the mean-EaR efficient frontier. Copyright © 2005 Watam Press.
Persistent Identifierhttp://hdl.handle.net/10722/82840
ISSN
2006 Impact Factor: 0.193
2015 SCImago Journal Rankings: 0.563
References

 

DC FieldValueLanguage
dc.contributor.authorLi, ZFen_HK
dc.contributor.authorNg, KWen_HK
dc.contributor.authorTan, KSen_HK
dc.contributor.authorYang, Hen_HK
dc.date.accessioned2010-09-06T08:34:01Z-
dc.date.available2010-09-06T08:34:01Z-
dc.date.issued2005en_HK
dc.identifier.citationDynamics Of Continuous, Discrete And Impulsive Systems Series B: Applications And Algorithms, 2005, v. 12 n. 4, p. 517-526en_HK
dc.identifier.issn1492-8760en_HK
dc.identifier.urihttp://hdl.handle.net/10722/82840-
dc.description.abstractIn this paper we consider a continuous-time Markowitz mean-variance type portfolio optimization problem where the variance is replaced by a Earnings-at-Risk (EaR) of terminal wealth. In a Black-Scholes setting of financial markets, we obtain closed-form expressions for best constant-rebalanced portfolio investment strategies and the mean-EaR efficient frontier. Copyright © 2005 Watam Press.en_HK
dc.languageengen_HK
dc.publisherWatam Press.en_HK
dc.relation.ispartofDynamics of Continuous, Discrete and Impulsive Systems Series B: Applications and Algorithmsen_HK
dc.subjectBlack-scholes modelen_HK
dc.subjectConstant-rebalanced portfoliosen_HK
dc.subjectDynamic portfolio selectionen_HK
dc.subjectEarnings-at-Risken_HK
dc.titleA closed-form solution to a dynamic portfolio optimization problemen_HK
dc.typeArticleen_HK
dc.identifier.openurlhttp://library.hku.hk:4550/resserv?sid=HKU:IR&issn=1492-8760&volume=12&spage=517&epage=526&date=2005&atitle=A+Closed-Form+Solution+to+a+Dynamic+Portfolio+Optimization Problemen_HK
dc.identifier.emailNg, KW: kaing@hkucc.hku.hken_HK
dc.identifier.emailYang, H: hlyang@hku.hken_HK
dc.identifier.authorityNg, KW=rp00765en_HK
dc.identifier.authorityYang, H=rp00826en_HK
dc.description.naturelink_to_subscribed_fulltext-
dc.identifier.scopuseid_2-s2.0-26444515603en_HK
dc.identifier.hkuros120778en_HK
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-26444515603&selection=ref&src=s&origin=recordpageen_HK
dc.identifier.volume12en_HK
dc.identifier.issue4en_HK
dc.identifier.spage517en_HK
dc.identifier.epage526en_HK
dc.publisher.placeCanadaen_HK
dc.identifier.scopusauthoridLi, ZF=17434361900en_HK
dc.identifier.scopusauthoridNg, KW=7403178774en_HK
dc.identifier.scopusauthoridTan, KS=35325520900en_HK
dc.identifier.scopusauthoridYang, H=7406559537en_HK

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