Journal article
Continuous-time mean-variance efficiency: The 80% rule
- Abstract:
-
This paper studies a continuous-time market where an agent, having specified an investment horizon and a targeted terminal mean return, seeks to minimize the variance of the return. The optimal portfolio of such a problem is called mean-variance efficient à la Markowitz. It is shown that, when the market coefficients are deterministic functions of time, a mean-variance efficient portfolio realizes the (discounted) targeted return on or before the terminal date with a probability greater than ...
Expand abstract
Actions
Access Document
- Publisher copy:
- 10.1214/105051606000000349
Why is the content I wish to access not available via ORA?
Bibliographic data (the information relating to research outputs) and full-text items (e.g. articles, theses, reports, etc.) arrive in ORA from several different sources. Unfortunately we are not able to make available the full-text for every research output.
Please contact the ORA team (
) if you have queries regarding unavailable content OR if you are aware of a full-text copy we can make available.
) if you have queries regarding unavailable content OR if you are aware of a full-text copy we can make available.
Content may be unavailable for the following four reasons
-
Version unsuitable
-
We have not obtained a suitable full-text for a given research output. See this page for more information.
-
Recently completed
-
Sometimes content is held in ORA but is unavailable for a fixed period of time to comply with the policies and wishes of rights holders.
-
Permissions
-
All content made available in ORA should comply with relevant rights, such as copyright. See this page for more information.
-
Clearance
-
Some thesis volumes scanned as part of the digitisation scheme funded by Dr Leonard Polonsky are currently unavailable due to sensitive material or uncleared third-party copyright content. We are attempting to contact authors whose theses are affected.
Alternative access to the full-text
You may be able to access the full-text directly from the publisher's website using the 'Publisher Copy' link in the 'Links & Downloads' box from a research output's ORA record page. This method may require an institutional or individual subscription to the journal/resource.
Authors
Bibliographic Details
- Journal:
- Annals of Applied Probability
- Volume:
- 16
- Issue:
- 4
- Pages:
- 1751-1763
- Publication date:
- 2006-11-01
- DOI:
- EISSN:
-
1050-5164
- ISSN:
-
1050-5164
- Source identifiers:
-
11113
Item Description
- Language:
- English
- Keywords:
- Pubs id:
-
pubs:11113
- UUID:
-
uuid:a7728dbb-6c24-4b07-b286-b2978e1e22be
- Local pid:
- pubs:11113
- Deposit date:
- 2012-12-19
Terms of use
- Copyright date:
- 2006
If you are the owner of this record, you can report an update to it here: Report update to this record