Continuous-time mean-variance efficiency: the 80% rule
Li, Xun ; Zhou, Xun Yu
Ann. Appl. Probab., Tome 16 (2006) no. 1, p. 1751-1763 / Harvested from Project Euclid
This 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.
Publié le : 2006-11-14
Classification:  Continuous time,  portfolio selection,  mean-variance efficiency,  goal-achieving,  hitting time,  90A09,  93E20
@article{1169065206,
     author = {Li, Xun and Zhou, Xun Yu},
     title = {Continuous-time mean-variance efficiency: the 80\% rule},
     journal = {Ann. Appl. Probab.},
     volume = {16},
     number = {1},
     year = {2006},
     pages = { 1751-1763},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1169065206}
}
Li, Xun; Zhou, Xun Yu. Continuous-time mean-variance efficiency: the 80% rule. Ann. Appl. Probab., Tome 16 (2006) no. 1, pp.  1751-1763. http://gdmltest.u-ga.fr/item/1169065206/