Mean Variance and Goal Achieving Portfolio for Discrete-Time Market With Currently Observable Source of Correlations

The paper studies multi-period discrete time market models with serial correlations. We found the optimal strategy in mean-variance and goal achieving setting for the case when there are serial correlations and when the parameter process that causes correlations is currently observable

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Year of publication:	[2009]
Authors:	Dokuchaev, Nikolai
Publisher:	[2009]: [S.l.] : SSRN

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Extent:	1 Online-Ressource (19 p)
Type of publication:	Book / Working Paper
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments May 6, 2007 erstellt
Other identifiers:	10.2139/ssrn.984777 [DOI]
Classification:	C44 - Statistical Decision Theory; Operations Research ; D81 - Criteria for Decision-Making under Risk and Uncertainty ; D84 - Expectations; Speculations ; G11 - Portfolio Choice
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012721339