Dynamic Mean-Variance Portfolio Selection with Return and Risk Predictability

Qian Li; Xiangyu Cui; Yun Shi

doi:10.1109/CCDC58219.2023.10327227

Dynamic Mean-Variance Portfolio Selection with Return and Risk Predictability

Qian Li, Xiangyu Cui, Yun Shi

School of Statistics

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution › peer-review

Abstract

We derive a semi-explicit solution to a multi-period mean-variance portfolio selection problem with return and risk predictability. Specifically, we assume that asset return and risk are predicted by a factor structure. The semi-explicit optimal portfolio policy is a linear function of current wealth level and the linear coefficients are characterized by a random process.

Original language	English
Title of host publication	Proceedings of the 35th Chinese Control and Decision Conference, CCDC 2023
Publisher	Institute of Electrical and Electronics Engineers Inc.
Pages	1999-2002
Number of pages	4
ISBN (Electronic)	9798350334722
DOIs	https://doi.org/10.1109/CCDC58219.2023.10327227
State	Published - 2023
Event	35th Chinese Control and Decision Conference, CCDC 2023 - Yichang, China Duration: 20 May 2023 → 22 May 2023

Publication series

Name	Proceedings of the 35th Chinese Control and Decision Conference, CCDC 2023

Conference

Conference	35th Chinese Control and Decision Conference, CCDC 2023
Country/Territory	China
City	Yichang
Period	20/05/23 → 22/05/23

Keywords

mean-variance portfolio selection
return predictability
risk predictability

Access to Document

10.1109/CCDC58219.2023.10327227

Cite this

Li, Q., Cui, X., & Shi, Y. (2023). Dynamic Mean-Variance Portfolio Selection with Return and Risk Predictability. In Proceedings of the 35th Chinese Control and Decision Conference, CCDC 2023 (pp. 1999-2002). (Proceedings of the 35th Chinese Control and Decision Conference, CCDC 2023). Institute of Electrical and Electronics Engineers Inc.. https://doi.org/10.1109/CCDC58219.2023.10327227

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abstract = "We derive a semi-explicit solution to a multi-period mean-variance portfolio selection problem with return and risk predictability. Specifically, we assume that asset return and risk are predicted by a factor structure. The semi-explicit optimal portfolio policy is a linear function of current wealth level and the linear coefficients are characterized by a random process.",

keywords = "mean-variance portfolio selection, return predictability, risk predictability",

author = "Qian Li and Xiangyu Cui and Yun Shi",

note = "Publisher Copyright: {\textcopyright} 2023 IEEE.; 35th Chinese Control and Decision Conference, CCDC 2023 ; Conference date: 20-05-2023 Through 22-05-2023",

year = "2023",

doi = "10.1109/CCDC58219.2023.10327227",

language = "英语",

series = "Proceedings of the 35th Chinese Control and Decision Conference, CCDC 2023",

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Li, Q, Cui, X & Shi, Y 2023, Dynamic Mean-Variance Portfolio Selection with Return and Risk Predictability. in Proceedings of the 35th Chinese Control and Decision Conference, CCDC 2023. Proceedings of the 35th Chinese Control and Decision Conference, CCDC 2023, Institute of Electrical and Electronics Engineers Inc., pp. 1999-2002, 35th Chinese Control and Decision Conference, CCDC 2023, Yichang, China, 20/05/23. https://doi.org/10.1109/CCDC58219.2023.10327227

Dynamic Mean-Variance Portfolio Selection with Return and Risk Predictability. / Li, Qian; Cui, Xiangyu; Shi, Yun.
Proceedings of the 35th Chinese Control and Decision Conference, CCDC 2023. Institute of Electrical and Electronics Engineers Inc., 2023. p. 1999-2002 (Proceedings of the 35th Chinese Control and Decision Conference, CCDC 2023).

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution › peer-review

TY - GEN

T1 - Dynamic Mean-Variance Portfolio Selection with Return and Risk Predictability

AU - Li, Qian

AU - Cui, Xiangyu

AU - Shi, Yun

PY - 2023

Y1 - 2023

N2 - We derive a semi-explicit solution to a multi-period mean-variance portfolio selection problem with return and risk predictability. Specifically, we assume that asset return and risk are predicted by a factor structure. The semi-explicit optimal portfolio policy is a linear function of current wealth level and the linear coefficients are characterized by a random process.

AB - We derive a semi-explicit solution to a multi-period mean-variance portfolio selection problem with return and risk predictability. Specifically, we assume that asset return and risk are predicted by a factor structure. The semi-explicit optimal portfolio policy is a linear function of current wealth level and the linear coefficients are characterized by a random process.

KW - mean-variance portfolio selection

KW - return predictability

KW - risk predictability

UR - https://www.scopus.com/pages/publications/85181817496

U2 - 10.1109/CCDC58219.2023.10327227

DO - 10.1109/CCDC58219.2023.10327227

M3 - 会议稿件

AN - SCOPUS:85181817496

T3 - Proceedings of the 35th Chinese Control and Decision Conference, CCDC 2023

SP - 1999

EP - 2002

BT - Proceedings of the 35th Chinese Control and Decision Conference, CCDC 2023

PB - Institute of Electrical and Electronics Engineers Inc.

T2 - 35th Chinese Control and Decision Conference, CCDC 2023

Y2 - 20 May 2023 through 22 May 2023

ER -

Dynamic Mean-Variance Portfolio Selection with Return and Risk Predictability

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Keywords

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