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^*

^*此作品的通讯作者

Shanghai University of Finance and Economics
Shanghai Jiao Tong University
Shanghai University

科研成果: 书/报告/会议事项章节 › 会议稿件 › 同行评审

摘要

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.

源语言	英语
主期刊名	Proceedings of the 2015 27th Chinese Control and Decision Conference, CCDC 2015
出版商	Institute of Electrical and Electronics Engineers Inc.
页	1063-1067
页数	5
ISBN（电子版）	9781479970179
DOI	https://doi.org/10.1109/CCDC.2015.7162074
出版状态	已出版 - 17 7月 2015
已对外发布	是
活动	27th Chinese Control and Decision Conference, CCDC 2015 - Qingdao, 中国期限: 23 5月 2015 → 25 5月 2015

出版系列

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

会议

会议	27th Chinese Control and Decision Conference, CCDC 2015
国家/地区	中国
市	Qingdao
时期	23/05/15 → 25/05/15

访问文件

10.1109/CCDC.2015.7162074

其它文件与链接

链接到 Scopus 的出版物

引用此

Cui, X., Gao, J., & Shi, Y. (2015). Optimal multi-period mean-variance policy with management costs. 在 Proceedings of the 2015 27th Chinese Control and Decision Conference, CCDC 2015 (页码 1063-1067). 文章 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

@inproceedings{b7598e99db154184a902d1b940094854,

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. 在 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., 页码 1063-1067, 27th Chinese Control and Decision Conference, CCDC 2015, Qingdao, 中国, 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. 页码 1063-1067 7162074 (Proceedings of the 2015 27th Chinese Control and Decision Conference, CCDC 2015).

科研成果: 书/报告/会议事项章节 › 会议稿件 › 同行评审

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

SP - 1063

EP - 1067

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 -

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

Optimal multi-period mean-variance policy with management costs

摘要

出版系列

会议

访问文件

其它文件与链接

指纹

引用此