Classical mean-variance model revisited: pseudo efficiency
文献类型：期刊论文
| 作者 | Cui, Xiangyu1; Duan, Li2; Yan, Jiaan3
|
| 刊名 | JOURNAL OF THE OPERATIONAL RESEARCH SOCIETY
 |
| 出版日期 | 2015-10-01 |
| 卷号 | 66期号:10页码:1646-1655 |
| 关键词 | mean-variance portfolio selection minimum cost policy binding budget spending optimal wealth management |
| ISSN号 | 0160-5682 |
| DOI | 10.1057/jors.2014.109 |
| 英文摘要 | Investigating the inverse problem of the classical Markowitz mean-variance formulation: Given a mean-variance pair, find initial investment levels and their corresponding portfolio policies such that the given mean-variance pair can be realized, we reveal that any mean-variance pair inside the reachable region can be achieved by multiple portfolio policies associated with different initial investment levels. Therefore, in the mean-variance world for a market of all risky assets, the common belief of monotonicity: 'The larger you invest, the larger expected future wealth you can expect for a given risk (variance) level' does not hold, which stimulates us to extend the classical two-objective mean-variance framework to an expanded three-objective framework: to maximize the mean and minimize the variance of the final wealth as well as to minimize the initial investment level. As a result, we eliminate from the policy candidate list the set of pseudo efficient policies that are efficient in the original mean-variance space, but inefficient in this newly introduced three-dimensional objective space. |
| 资助项目 | Research Grants Council, Hong Kong[CUHK414808] ; Research Grants Council, Hong Kong[CUHK414513] ; National Natural Science Foundation of China[71201094] ; National Natural Science Foundation of China[11371350] ; Shanghai Pujiang Program[12PJC051] ; Key Laboratory of Random Complex Structures and Data Science, CAS[2008DP173182] ; Patrick Huen Wing Ming Chair Professorship of Systems Engineering and Engineering Management |
| WOS研究方向 | Business & Economics ; Operations Research & Management Science |
| 语种 | 英语 |
| WOS记录号 | WOS:000361034100006 |
| 出版者 | PALGRAVE MACMILLAN LTD |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/20841]  |
| 专题 | 应用数学研究所 |
| 通讯作者 | Duan, Li |
| 作者单位 | 1.Shanghai Univ Finance & Econ, Shanghai, Peoples R China 2.Chinese Univ Hong Kong, Shatin, Hong Kong 00000, Peoples R China 3.Chinese Acad Sci, Acad Math & Syst Sci, Beijing, Peoples R China |
| 推荐引用方式 GB/T 7714 | Cui, Xiangyu,Duan, Li,Yan, Jiaan. Classical mean-variance model revisited: pseudo efficiency[J]. JOURNAL OF THE OPERATIONAL RESEARCH SOCIETY,2015,66(10):1646-1655. |
| APA | Cui, Xiangyu,Duan, Li,&Yan, Jiaan.(2015).Classical mean-variance model revisited: pseudo efficiency.JOURNAL OF THE OPERATIONAL RESEARCH SOCIETY,66(10),1646-1655. |
| MLA | Cui, Xiangyu,et al."Classical mean-variance model revisited: pseudo efficiency".JOURNAL OF THE OPERATIONAL RESEARCH SOCIETY 66.10(2015):1646-1655. |
入库方式： OAI收割
来源：数学与系统科学研究院
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