MARKOWITZ STRATEGIES REVISED  

作　　者：严加安 周迅宇 

机构地区：[1]Institute of Applied Mathematics, Academy of Mathematics and Systems Science,Chinese Academy of Sciences, No. 55 Zhongguancun East Road [2]Nomura Centre for Mathematical Finance, and Oxford–Man Institute of Quantitative Finance,The University of Oxford, 24–29 St Giles [3]Department of Systems Engineering and Engineering Management, The Chinese University of Hong Kong

出　　处：《Acta Mathematica Scientia》2009年第4期817-828,共12页数学物理学报（B辑英文版）

基　　金：supported by the National Natural Science Foundation of China (10571167);the National Basic Research Program of China (973 Program, 2007CB814902);the Science Fund for Creative Research Groups (10721101);supported by the Nomura Centrefor Mathematical Finance and the Oxford–Man Institute of Quantitative Finance;a start-up fund of the University of Oxford

摘　　要：Continuous-time Markowitz＇s by parameterizing a critical quantity. It mean-variance efficient strategies are modified is shown that these parameterized Markowitz strategies could reach the original mean target with arbitrarily high probabilities. This, in turn, motivates the introduction of certain stopped strategies where stock holdings are liquidated whenever the parameterized Markowitz strategies reach the present value of the mean target. The risk aspect of the revised Markowitz strategies are examined via expected discounted loss from the initial budget. A new portfolio selection model is suggested based on the results of the paper.Continuous-time Markowitz＇s by parameterizing a critical quantity. It mean-variance efficient strategies are modified is shown that these parameterized Markowitz strategies could reach the original mean target with arbitrarily high probabilities. This, in turn, motivates the introduction of certain stopped strategies where stock holdings are liquidated whenever the parameterized Markowitz strategies reach the present value of the mean target. The risk aspect of the revised Markowitz strategies are examined via expected discounted loss from the initial budget. A new portfolio selection model is suggested based on the results of the paper.

关 键 词：continuous-time portfolio selection Markowitz efficient strategies goalreaching probability stopping time expected loss 

分 类 号：F830.91[经济管理—金融学] F224