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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 ...

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Publisher copy:
10.1214/105051606000000349

Authors


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
Language:
English
Keywords:
Pubs id:
pubs:11113
UUID:
uuid:a7728dbb-6c24-4b07-b286-b2978e1e22be
Local pid:
pubs:11113
Deposit date:
2012-12-19

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