The Sharpe Optimization Model Of Variable Maturity Portfolio

This paper constructs two optimization models with a new index of investment maturity t based on Sharpe model, to figure out the investment portfolio problem which we want to know the maturity and decision at the same time. Then we can use quadratic optimization to gain the result of max-max model from solving T nonconvex and nonsmooth optimization problems, and then we solve the k-max model with the truncated aggregate homotopy algorithm. At last, we make a numerical analysis to examine the proposed models.