Continuous-time mean-variance efficiency: the 80% rule

Simple item page
dc.creatorLi, Xun
dc.creatorZhou, Xun Yu
dc.date2007-02-09
dc.date.accessioned2026-07-07T12:07:21Z
dc.date.available2026-07-07T12:07:21Z
dc.descriptionThis paper studies a continuous-time market where an agent, having specified an investment horizon and a targeted terminal mean return, seeks to minimize the variance of the return. The optimal portfolio of such a problem is called mean-variance efficient à la Markowitz. It is shown that, when the market coefficients are deterministic functions of time, a mean-variance efficient portfolio realizes the (discounted) targeted return on or before the terminal date with a probability greater than 0.8072. This number is universal irrespective of the market parameters, the targeted return and the length of the investment horizon.
dc.descriptionPublished at http://dx.doi.org/10.1214/105051606000000349 in the Annals of Applied Probability (http://www.imstat.org/aap/) by the Institute of Mathematical Statistics (http://www.imstat.org)
dc.identifierhttps://arxiv.org/abs/math/0702249
dc.identifierhttp://arxiv.org/abs/math/0702249
dc.identifierAnnals of Applied Probability 2006, Vol. 16, No. 4, 1751-1763
dc.identifierdoi:10.1214/105051606000000349
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/208942
dc.subjectProbability
dc.subjectStatistical Finance
dc.subject90A09 (Primary) 93E20 (Secondary)
dc.titleContinuous-time mean-variance efficiency: the 80% rule
dc.typetext

Files

Collections

arXiv