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arXiv · 2011.10966

Discrete time multi-period mean-variance model: Bellman type strategy and Empirical analysis

Shuzhen Yang
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Abstract

In this paper, we attempt to introduce the Bellman principle for a discrete time multi-period mean-variance model. Based on this new take on the Bellman principle, we obtain a dynamic time-consistent optimal strategy and related efficient frontier. Furthermore, we develop a varying investment period discrete time multi-period mean-variance model and obtain a related dynamic optimal strategy and an optimal investment period. This paper compares the highlighted dynamic optimal strategies of this study with the 1/n equality strategy, and shows that we can secure a higher return with a smaller risk based on the dynamic optimal strategies.

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Shuzhen Yang. 2020-11-22. Discrete time multi-period mean-variance model: Bellman type strategy and Empirical analysis. https://arxiv.org/abs/2011.10966

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