Multiperiod mean-standard-deviation time consistent portfolio selection

Hugh Bannister, Beniamin Goldys, Spiridon Penev, Wei Wu

Research output: Contribution to journalArticlepeer-review

10 Citations (Scopus)


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
Publication statusPublished - 1 Nov 2016
Externally publishedYes


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


Dive into the research topics of 'Multiperiod mean-standard-deviation time consistent portfolio selection'. Together they form a unique fingerprint.

Cite this