Multiperiod mean-standard-deviation time consistent portfolio selection

Hugh Bannister, Beniamin Goldys, Spiridon Penev, Wei Wu

Research output: Contribution to journalArticlepeer-review

7 Citations (Scopus)

Abstract

We study a multiperiod portfolio selection problem in which a single period mean-standard-deviation criterion is used to construct a separable multiperiod selection criterion. Using this criterion, we obtain a closed form optimal strategy which depends on selection schemes of investor's risk preference. As a consequence, we develop a multiperiod portfolio selection scheme. In doing so, we adapt a pseudo dynamic programming principle from other existing results. The analysis is performed in the market of risky assets only, however, we allow both market transitions and intermediate cash injections and offtakes.

Original languageEnglish
Pages (from-to)15-26
Number of pages12
JournalAutomatica
Volume73
DOIs
Publication statusPublished - 1 Nov 2016
Externally publishedYes

Keywords

  • Discrete time
  • Dynamic programming
  • Mean-standard-deviation
  • Non-self-financing
  • Time consistency

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