A Dynamic Mean-Variance Analysis for Log Returns | Zendy

Min Dai | Zendy; Hanqing Jin | Zendy; Steven Kou | Zendy; Yuhong Xu | Zendy

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A Dynamic Mean-Variance Analysis for Log Returns

Author(s) -

Min Dai,

Hanqing Jin,

Steven Kou,

Yuhong Xu

Publication year - 2020

Publication title -

management science

Language(s) - English

Resource type - Journals

SCImago Journal Rank - 4.954

H-Index - 255

eISSN - 1526-5501

pISSN - 0025-1909

DOI - 10.1287/mnsc.2019.3493

Subject(s) - economics , portfolio , econometrics , maximization , stock (firearms) , variance (accounting) , investment (military) , risk aversion (psychology) , utility maximization , stock market , time horizon , financial economics , replicating portfolio , portfolio optimization , market portfolio , microeconomics , expected utility hypothesis , finance , mathematical economics , mechanical engineering , paleontology , accounting , horse , politics , political science , law , engineering , biology

We propose a dynamic portfolio choice model with the mean-variance criterion for log returns. The model yields time-consistent portfolio policies and is analytically tractable even under some incom...

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