Please use this identifier to cite or link to this item: http://hdl.handle.net/10397/20833
Title: Optimal multi-period mean–variance policy under no-shorting constraint
Authors: Cui, X
Gao, J
Li, X 
Li, D
Keywords: Multi-period portfolio selection
Multi-period mean- variance formulation
Expected utility maximization
No-shorting
Issue Date: 2014
Publisher: Elsevier
Source: European journal of operational research, 2014, v. 234, no. 2, p. 459-468 How to cite?
Journal: European journal of operational research 
Abstract: We consider in this paper the mean–variance formulation in multi-period portfolio selection under no-shorting constraint. Recognizing the structure of a piecewise quadratic value function, we prove that the optimal portfolio policy is piecewise linear with respect to the current wealth level, and derive the semi-analytical expression of the piecewise quadratic value function. One prominent feature of our findings is the identification of a deterministic time-varying threshold for the wealth process and its implications for market settings. We also generalize our results in the mean–variance formulation to utility maximization with no-shorting constraint.
URI: http://hdl.handle.net/10397/20833
ISSN: 0377-2217
EISSN: 1872-6860
DOI: 10.1016/j.ejor.2013.02.040
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