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Article: Optimal constant-rebalanced portfolio investment strategies for dynamic portfolio selection

TitleOptimal constant-rebalanced portfolio investment strategies for dynamic portfolio selection
Authors
KeywordsBlack-Scholes model
Constant-rebalanced portfolios
Dynamic portfolio optimization
Earnings-at-risk
Issue Date2006
PublisherWorld Scientific Publishing Co Pte Ltd. The Journal's web site is located at http://www.worldscinet.com/ijtaf/ijtaf.shtml
Citation
International Journal Of Theoretical And Applied Finance, 2006, v. 9 n. 6, p. 951-966 How to Cite?
AbstractIn this paper we propose a variant of the continuous-time Markowitz mean-variance model by incorporating the Earnings-at-Risk measure in the portfolio optimization problem. Under the Black-Scholes framework, we obtain closed-form expressions for the optimal constant-rebalanced portfolio (CRP) investment strategy. We also derive explicitly the corresponding mean-EaR efficient portfolio frontier, which is a generalization of the Markowitz mean-variance efficient frontier. © World Scientific Publishing Company.
Persistent Identifierhttp://hdl.handle.net/10722/83002
ISSN
2015 SCImago Journal Rankings: 0.628
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.accessioned2010-09-06T08:35:49Z-
dc.date.available2010-09-06T08:35:49Z-
dc.date.issued2006en_HK
dc.identifier.citationInternational Journal Of Theoretical And Applied Finance, 2006, v. 9 n. 6, p. 951-966en_HK
dc.identifier.issn0219-0249en_HK
dc.identifier.urihttp://hdl.handle.net/10722/83002-
dc.description.abstractIn this paper we propose a variant of the continuous-time Markowitz mean-variance model by incorporating the Earnings-at-Risk measure in the portfolio optimization problem. Under the Black-Scholes framework, we obtain closed-form expressions for the optimal constant-rebalanced portfolio (CRP) investment strategy. We also derive explicitly the corresponding mean-EaR efficient portfolio frontier, which is a generalization of the Markowitz mean-variance efficient frontier. © World Scientific Publishing Company.en_HK
dc.languageengen_HK
dc.publisherWorld Scientific Publishing Co Pte Ltd. The Journal's web site is located at http://www.worldscinet.com/ijtaf/ijtaf.shtmlen_HK
dc.relation.ispartofInternational Journal of Theoretical and Applied Financeen_HK
dc.subjectBlack-Scholes modelen_HK
dc.subjectConstant-rebalanced portfoliosen_HK
dc.subjectDynamic portfolio optimizationen_HK
dc.subjectEarnings-at-risken_HK
dc.titleOptimal constant-rebalanced portfolio investment strategies for dynamic portfolio selectionen_HK
dc.typeArticleen_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.doi10.1142/S0219024906003883en_HK
dc.identifier.scopuseid_2-s2.0-33747866022en_HK
dc.identifier.hkuros125322en_HK
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-33747866022&selection=ref&src=s&origin=recordpageen_HK
dc.identifier.volume9en_HK
dc.identifier.issue6en_HK
dc.identifier.spage951en_HK
dc.identifier.epage966en_HK
dc.publisher.placeSingaporeen_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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