Static Mean-Variance Analysis with Uncertain Time Horizon

@article{Martellini2006StaticMA,
  title={Static Mean-Variance Analysis with Uncertain Time Horizon},
  author={Lionel Martellini and Branko Urosevic},
  journal={Management Science},
  year={2006},
  volume={52},
  pages={955-964}
}
Our approach preserves the form of the original problem in that an investor minimizes portfolio variance for a given level of the expected return. However, inputs are now given by the generalized expressions for mean and variance-covariance matrix involving moments of the random exit time in addition to the conditional moments of asset returns. While efficient frontiers in the generalized and the standard Markowitz case may coincide under certain conditions, we demonstrate, by means of an… CONTINUE READING