Journal
MATHEMATICAL FINANCE
Volume 10, Issue 3, Pages 387-406Publisher
WILEY
DOI: 10.1111/1467-9965.00100
Keywords
multiperiod portfolio selection; multiperiod mean-variance formulation; utility function
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The mean-variance formulation by Markowitz in the 1950s paved a foundation for modem portfolio selection analysis in a single period. This paper considers an analytical optimal solution to the mean-variance formulation in multiperiod portfolio selection. Specifically, analytical optimal portfolio policy and analytical expression of the mean-variance efficient frontier are derived in this paper for the multiperiod mean-variance formulation. An efficient algorithm is also proposed for finding an optimal portfolio policy to maximize a utility function of the expected value and the variance of the terminal wealth.
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