A dynamic programming approach to two-stage mean-variance portfolio selection in cointegrated vector autoregressive systems

In this paper we study the problem of optimal portfolio construction when the trading horizon consists of two consecutive decision intervals and rebalancing is permitted. It is assumed that the log-prices of the underlying assets are non-stationary, and specifically follow a discrete-time cointegrat...

Ausführliche Beschreibung

Bibliographische Detailangaben

Hauptverfasser:	Rudoy, M.B., Rohrs, C.E.
Format:	Tagungsbericht
Sprache:	eng
Schlagworte:	Analytical models Asset management Constraint optimization Control systems Digital signal processing Dynamic programming Optimal control Portfolios Processor scheduling Vectors
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