Optimal multi-period mean-variance policy with management costs

Xiangyu Cui; Jianjun Gao; Yun Shi

doi:10.1109/CCDC.2015.7162074

Optimal multi-period mean-variance policy with management costs

Xiangyu Cui, Jianjun Gao, Yun Shi^*

^*Corresponding author for this work

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

Abstract

In this paper, we consider multi-period mean-variance portfolio selection problem with proportional management costs and solve the problem semi-analytically. We show that the optimal investment policy takes piecewise linear form of current wealth level. A numerical example is also presented to reveal the influence of management costs.

Original language	English
Title of host publication	Proceedings of the 2015 27th Chinese Control and Decision Conference, CCDC 2015
Publisher	Institute of Electrical and Electronics Engineers Inc.
Pages	1063-1067
Number of pages	5
ISBN (Electronic)	9781479970179
DOIs	https://doi.org/10.1109/CCDC.2015.7162074
State	Published - 17 Jul 2015
Externally published	Yes
Event	27th Chinese Control and Decision Conference, CCDC 2015 - Qingdao, China Duration: 23 May 2015 → 25 May 2015

Publication series

Name	Proceedings of the 2015 27th Chinese Control and Decision Conference, CCDC 2015

Conference

Conference	27th Chinese Control and Decision Conference, CCDC 2015
Country/Territory	China
City	Qingdao
Period	23/05/15 → 25/05/15

Keywords

duality theory
multi-period mean-variance model
proportional management costs

Access to Document

10.1109/CCDC.2015.7162074

Cite this

Cui, X., Gao, J., & Shi, Y. (2015). Optimal multi-period mean-variance policy with management costs. In Proceedings of the 2015 27th Chinese Control and Decision Conference, CCDC 2015 (pp. 1063-1067). Article 7162074 (Proceedings of the 2015 27th Chinese Control and Decision Conference, CCDC 2015). Institute of Electrical and Electronics Engineers Inc.. https://doi.org/10.1109/CCDC.2015.7162074

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title = "Optimal multi-period mean-variance policy with management costs",

abstract = "In this paper, we consider multi-period mean-variance portfolio selection problem with proportional management costs and solve the problem semi-analytically. We show that the optimal investment policy takes piecewise linear form of current wealth level. A numerical example is also presented to reveal the influence of management costs.",

keywords = "duality theory, multi-period mean-variance model, proportional management costs",

author = "Xiangyu Cui and Jianjun Gao and Yun Shi",

note = "Publisher Copyright: {\textcopyright} 2015 IEEE.; 27th Chinese Control and Decision Conference, CCDC 2015 ; Conference date: 23-05-2015 Through 25-05-2015",

year = "2015",

month = jul,

day = "17",

doi = "10.1109/CCDC.2015.7162074",

language = "英语",

series = "Proceedings of the 2015 27th Chinese Control and Decision Conference, CCDC 2015",

publisher = "Institute of Electrical and Electronics Engineers Inc.",

pages = "1063--1067",

booktitle = "Proceedings of the 2015 27th Chinese Control and Decision Conference, CCDC 2015",

address = "美国",

}

Cui, X, Gao, J & Shi, Y 2015, Optimal multi-period mean-variance policy with management costs. in Proceedings of the 2015 27th Chinese Control and Decision Conference, CCDC 2015., 7162074, Proceedings of the 2015 27th Chinese Control and Decision Conference, CCDC 2015, Institute of Electrical and Electronics Engineers Inc., pp. 1063-1067, 27th Chinese Control and Decision Conference, CCDC 2015, Qingdao, China, 23/05/15. https://doi.org/10.1109/CCDC.2015.7162074

Optimal multi-period mean-variance policy with management costs. / Cui, Xiangyu; Gao, Jianjun; Shi, Yun.
Proceedings of the 2015 27th Chinese Control and Decision Conference, CCDC 2015. Institute of Electrical and Electronics Engineers Inc., 2015. p. 1063-1067 7162074 (Proceedings of the 2015 27th Chinese Control and Decision Conference, CCDC 2015).

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

TY - GEN

T1 - Optimal multi-period mean-variance policy with management costs

AU - Cui, Xiangyu

AU - Gao, Jianjun

AU - Shi, Yun

PY - 2015/7/17

Y1 - 2015/7/17

N2 - In this paper, we consider multi-period mean-variance portfolio selection problem with proportional management costs and solve the problem semi-analytically. We show that the optimal investment policy takes piecewise linear form of current wealth level. A numerical example is also presented to reveal the influence of management costs.

AB - In this paper, we consider multi-period mean-variance portfolio selection problem with proportional management costs and solve the problem semi-analytically. We show that the optimal investment policy takes piecewise linear form of current wealth level. A numerical example is also presented to reveal the influence of management costs.

KW - duality theory

KW - multi-period mean-variance model

KW - proportional management costs

UR - https://www.scopus.com/pages/publications/84945547153

U2 - 10.1109/CCDC.2015.7162074

DO - 10.1109/CCDC.2015.7162074

M3 - 会议稿件

AN - SCOPUS:84945547153

T3 - Proceedings of the 2015 27th Chinese Control and Decision Conference, CCDC 2015

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BT - Proceedings of the 2015 27th Chinese Control and Decision Conference, CCDC 2015

PB - Institute of Electrical and Electronics Engineers Inc.

T2 - 27th Chinese Control and Decision Conference, CCDC 2015

Y2 - 23 May 2015 through 25 May 2015

ER -

Optimal multi-period mean-variance policy with management costs

Abstract

Publication series

Conference

Keywords

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