MEAN–VARIANCE PORTFOLIO MANAGEMENT WITH FUNCTIONAL OPTIMIZATION

@article{Tsang2020MEANVARIANCEPM,
  title={MEAN–VARIANCE PORTFOLIO MANAGEMENT WITH FUNCTIONAL OPTIMIZATION},
  author={Ka Wai Tsang and Zhaoyi He},
  journal={arXiv: Portfolio Management},
  year={2020}
}
  • K. Tsang, Zhaoyi He
  • Published 26 May 2020
  • Economics, Mathematics
  • arXiv: Portfolio Management
This paper introduces a new functional optimization approach to portfolio optimization problems by treating the unknown weight vector as a function of past values instead of treating them as fixed unknown coefficients in the majority of studies. We first show that the optimal solution, in general, is not a constant function. We give the optimal conditions for a vector function to be the solution, and hence give the conditions for a plug-in solution (replacing the unknown mean and variance by… 

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