Font Size: a A A

Study On Some Portfolio Selection Models In A Mean-Variance Framework

Posted on:2012-11-25Degree:DoctorType:Dissertation
Country:ChinaCandidate:Z W WuFull Text:PDF
GTID:1119330338490510Subject:Management Science and Engineering
Abstract/Summary:PDF Full Text Request
Based on the mean-variance portfolio selection framework, we discuss a drift rule of the efficient frontier for mean-variance portfolio selection in a market without short sale restriction when some assets are injected or rejected by investors in their original portfo-lios. The efficient frontier will drift to upper right as the injection of efficient assets. On the contrary, the efficient frontier will drift to bottom left as the rejection of inefficient as-sets. Meanwhile, the angle of fluctuation and the distance formula are derived. And also, we formulate a minimax portfolio selection model in a market without riskless asset. The optimal solution and corresponding efficient frontier to the problem in a market without short sale restriction are obtained by using the Lagrange multiplier method. A sufficient condition for the existence and uniqueness of a nonnegative equilibrium price system un-der which the total demand and supply of each asset are equal is provided and an explicit formula for such a price system is derived. The optimal solution in a frictional market with short sale restriction is obtained by use of the maximal entropy algorithm. A numerical example is provided to illustrate the effectiveness of the proposed models and approaches. Furthermore, we consider a multiperiod mean-variance model in a frictional market where the model parameters change according to a stochastic market. Dynamic programming is used to solve an auxiliary problem which, in turn, gives the efficient frontier of the mean-variance formulation. An explicit expression is obtained for the efficient frontier and an illustrative example is given to demonstrate the application of the procedure. In addition, we develop a continuous-time mean-variance portfolio selection model in a frictional mar-ket. The optimal strategy and efficient frontier are derived by using the general stochastic linear-quadratic control technique. A numerical example are presented to illustrate the application of this model.
Keywords/Search Tags:M-V Model, portfolio selection, efficient frontier, maximum entropy algorithm, dynamic programming, stochastic LQ control
PDF Full Text Request
Related items