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- Publisher
- Springer Journals
- Copyright
- Copyright © 2013 by Institute of Applied Mathematics, Academy of Mathematics and System Sciences, Chinese Academy of Sciences and Springer-Verlag Berlin Heidelberg
- Subject
- Mathematics; Applications of Mathematics; Math Applications in Computer Science; Theoretical, Mathematical and Computational Physics
- ISSN
- 0168-9673
- eISSN
- 1618-3932
- DOI
- 10.1007/s10255-013-0246-y
- Publisher site
- See Article on Publisher Site
Abstract
In this paper, we study infinite-period mean-variance formulations for portfolio selections with an uncertain exit time. We employ the convergence control method together with the dynamic programming algorithm to derive analytical expressions for the optimal portfolio policy and the mean-variance efficient frontier under certain conditions. We illustrate these results by an numerical example.
Journal
Acta Mathematicae Applicatae Sinica – Springer Journals
Published: Nov 29, 2013