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Mathematical Finance pp 307–316Cite as

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Local optimality in the multi-dimensional multi-period mean-variance portfolio problem

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Part of the book series: Trends in Mathematics ((TM))

Abstract

A variant of the mean-variance problem is studied where the conditional variances of the gain in the last periods are minimized by a backward iteration.

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Author information

Authors and Affiliations

  1. Universität Bonn, Wegelerstr 6, Institut für Angewandte Mathematik, Bonn, D-53115, Germany

    Manfred Schäl

Authors
  1. Manfred Schäl
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Editor information

Editors and Affiliations

  1. Fakultät für Mathematik und Informatik, Universität Konstanz, Postfach 5560, Konstanz, D-78434, Germany

    Michael Kohlmann

  2. Department of Mathematics, Fudan University, Shanghai, 200433, China

    Shanjian Tang

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© 2001 Springer Basel AG

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Schäl, M. (2001). Local optimality in the multi-dimensional multi-period mean-variance portfolio problem. In: Kohlmann, M., Tang, S. (eds) Mathematical Finance. Trends in Mathematics. Birkhäuser, Basel. https://doi.org/10.1007/978-3-0348-8291-0_29

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  • DOI: https://doi.org/10.1007/978-3-0348-8291-0_29

  • Publisher Name: Birkhäuser, Basel

  • Print ISBN: 978-3-0348-9506-4

  • Online ISBN: 978-3-0348-8291-0

  • eBook Packages: Springer Book Archive

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