Geodesic
Mean variance and goal achieving portfolio for discrete-time market with currently observable source of correlations
ESAIM: Control, Optimisation and Calculus of Variations, Tome 16 (2010) no. 3, pp. 635-647

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The paper studies optimal portfolio selection for discrete time market models in mean-variance and goal achieving setting. The optimal strategies are obtained for models with an observed process that causes serial correlations of price changes. The optimal strategies are found to be myopic for the goal-achieving problem and quasi-myopic for the mean variance portfolio.

DOI : 10.1051/cocv/2009008
Classification : 91B16, 91B70
Keywords: discrete time market, multi-period market, myopic strategies, serial correlation, optimal portfolio, mean variance portfolio, goal achieving 
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     author = {Dokuchaev, Nikolai},
     title = {Mean variance and goal achieving portfolio for discrete-time market with currently observable source of correlations},
     journal = {ESAIM: Control, Optimisation and Calculus of Variations},
     pages = {635--647},
     publisher = {EDP-Sciences},
     volume = {16},
     number = {3},
     year = {2010},
     doi = {10.1051/cocv/2009008},
     mrnumber = {2674630},
     zbl = {1198.91185},
     language = {en},
     url = {http://geodesic.mathdoc.fr/articles/10.1051/cocv/2009008/}
}
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Dokuchaev, Nikolai. Mean variance and goal achieving portfolio for discrete-time market with currently observable source of correlations. ESAIM: Control, Optimisation and Calculus of Variations, Tome 16 (2010) no. 3, pp. 635-647. doi: 10.1051/cocv/2009008

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