Classical mean-variance model revisited: pseudo efficiency

doi:10.1057/jors.2014.109

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	Classical mean-variance model revisited: pseudo efficiency
	Cui, Xiangyu 1; Duan, Li 2; Yan, Jiaan3
刊名	JOURNAL OF THE OPERATIONAL RESEARCH SOCIETY
	2015-10-01
卷号	66 期号:10 页码:1646-1655
关键词	mean-variance portfolio selection minimum cost policy binding budget spending optimal wealth management
ISSN号	0160-5682
DOI	10.1057/jors.2014.109
英文摘要	Investigating the inverse problem of the classical Markowitz mean-variance formulation: Given a mean-variance pair, find initial investment levels and their corresponding portfolio policies such that the given mean-variance pair can be realized, we reveal that any mean-variance pair inside the reachable region can be achieved by multiple portfolio policies associated with different initial investment levels. Therefore, in the mean-variance world for a market of all risky assets, the common belief of monotonicity: 'The larger you invest, the larger expected future wealth you can expect for a given risk (variance) level' does not hold, which stimulates us to extend the classical two-objective mean-variance framework to an expanded three-objective framework: to maximize the mean and minimize the variance of the final wealth as well as to minimize the initial investment level. As a result, we eliminate from the policy candidate list the set of pseudo efficient policies that are efficient in the original mean-variance space, but inefficient in this newly introduced three-dimensional objective space.
资助项目	Research Grants Council, Hong Kong[CUHK414808] ; Research Grants Council, Hong Kong[CUHK414513] ; National Natural Science Foundation of China[71201094] ; National Natural Science Foundation of China[11371350] ; Shanghai Pujiang Program[12PJC051] ; Key Laboratory of Random Complex Structures and Data Science, CAS[2008DP173182] ; Patrick Huen Wing Ming Chair Professorship of Systems Engineering and Engineering Management
WOS研究方向	Business & Economics ; Operations Research & Management Science
语种	英语
出版者	PALGRAVE MACMILLAN LTD
WOS记录号	WOS:000361034100006
内容类型	期刊论文
源URL	[http://ir.amss.ac.cn/handle/2S8OKBNM/20841]
专题	应用数学研究所
通讯作者	Duan, Li
作者单位	1.Shanghai Univ Finance & Econ, Shanghai, Peoples R China 2.Chinese Univ Hong Kong, Shatin, Hong Kong 00000, Peoples R China 3.Chinese Acad Sci, Acad Math & Syst Sci, Beijing, Peoples R China
推荐引用方式 GB/T 7714	Cui, Xiangyu,Duan, Li,Yan, Jiaan. Classical mean-variance model revisited: pseudo efficiency[J]. JOURNAL OF THE OPERATIONAL RESEARCH SOCIETY,2015,66(10):1646-1655.
APA	Cui, Xiangyu,Duan, Li,&Yan, Jiaan.(2015).Classical mean-variance model revisited: pseudo efficiency.JOURNAL OF THE OPERATIONAL RESEARCH SOCIETY,66(10),1646-1655.
MLA	Cui, Xiangyu,et al."Classical mean-variance model revisited: pseudo efficiency".JOURNAL OF THE OPERATIONAL RESEARCH SOCIETY 66.10(2015):1646-1655.