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Copyright (c) 2018 Pakistan Journal of Statistics and Operation Research

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This work is licensed under a Creative Commons Attribution 4.0 International License.

Title

Static Mean-Variance portfolio optimization under general sources of uncertainty

Keywords

Static Mean-Variance portfolio selection, Optimal portfolio, Uncertain exit-time, Uncertain quantity

Description

The only source of uncertainty in the standard Markowitz’s static Mean-Variance portfolio selection model is the future price of assets. This paper studies the static Mean-Variance portfolio selection model under general sources of uncertainty which generalizes the Markowitz’s model. It is shown that how the generalized problem can be reformulated as a quadratic program. Sufficient conditions are provided under which the standard and the generalized models produce the same set of optimal portfolios. Some sources of uncertainty and relevant examples are investigated. An illustrative example is provided to demonstrate the model.


Date

2018-06-01

Identifier


Source

Pakistan Journal of Statistics and Operation Research; Vol. 14 No. 2, 2018



Print ISSN: 1816-2711 | Electronic ISSN: 2220-5810