Dynamic portfolio frontier in a mean-variance framework

• Autores: Ching-Ping Wang, Hung-Hsi Huang, David Jou i Mirabent
• Localización: Applied financial economics, ISSN 0960-3107, Vol. 21, Nº. 16-18, 2011, págs. 1255-1261
• Idioma: inglés
• Texto completo no disponible (Saber más ...)
• Resumen

  • The dynamic portfolio frontier theory in a mean�variance framework previously developed by scholars suffers some limitations. Specifically, the theory assumes the use of the martingale approach, the assumption of a complete market and particular probability distribution of asset returns. Accordingly, under relaxing these limitations, this study develops a calculation process for explicitly deriving the dynamic portfolio frontier and the corresponding dynamic asset allocation. Finally, for comparison, this study provides a numerical example and then draws the dynamic and static portfolio frontiers on the same graph.