Jia-an Yan
Academy of Science of China
Title: New formulations of Markowitz's mean-variance portfolio selection
FSince Markowitz published his seminal work on mean-variance portfolio selection in 1952, almost all literature in the past half century adhere their investigation to a binding budget spending assumption on this classical investment issue. For a market of all risky assets, however, not the larger amount you invest, the smaller variance of future wealth you can expect for a given expected gain level. By relaxing the binding budget spending restriction, we propose some new formulations of Markowitz's mean-variance portfolio selection, and derive optimal schemes in managing initial wealth which dominate the traditional mean-variance efficient frontier. This talk is based on a joint work with Xianyu Cui and Duan Li of Chinese University of Hong Kong.
©2010, Department of Mathematical Sciences
Last Modified: February 26, 2009