A varying terminal time mean-variance model
Optimization and Control
2020-01-14 v2 Mathematical Finance
Abstract
To improve the efficient frontier of the classical mean-variance model in continuous time, we propose a varying terminal time mean-variance model with a constraint on the mean value of the portfolio asset, which moves with the varying terminal time. Using the embedding technique from stochastic optimal control in continuous time and varying the terminal time, we determine an optimal strategy and related deterministic terminal time for the model. Our results suggest that doing so for an investment plan requires minimizing the variance with a varying terminal time.
Keywords
Cite
@article{arxiv.1909.13102,
title = {A varying terminal time mean-variance model},
author = {Shuzhen Yang},
journal= {arXiv preprint arXiv:1909.13102},
year = {2020}
}
Comments
19pages, 3 figures