Abstract

The covariance matrix of portfolio returns constructed by static mean-variance model will change with time, so the optimal portfolio with fixed weights may not be optimal. Based on the static mean-variance model, this paper introduces two new parameters of the length of dynamic historical period and holding period to construct a dynamic mean-variance model. Numerical analysis shows that the proposed dynamic portfolio strategy can achieve good returns.

Full Text
Paper version not known

Talk to us

Join us for a 30 min session where you can share your feedback and ask us any queries you have

Schedule a call

Disclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.