A dynamic programming approach to two-stage mean-variance portfolio selection in cointegrated vector autoregressive systems

2008 ◽  
Author(s):  
Melanie B. Rudoy ◽  
Charles E. Rohrs
Keyword(s):  
Dynamic Programming ◽  
Portfolio Selection ◽  
Programming Approach ◽  
Two Stage ◽  
Vector Autoregressive ◽  
Dynamic Programming Approach ◽  
Mean Variance Portfolio ◽  
Mean Variance

Dynamic Programming and Mean-Variance Hedging in Discrete Time

2003 ◽  
Vol 10 (2) ◽  
pp. 237-246
Author(s):  
S. Gugushvili
Keyword(s):  
Dynamic Programming ◽  
Discrete Time ◽  
Optimal Strategy ◽  
Programming Approach ◽  
Dynamic Programming Approach ◽  
The Mean ◽  
Hedging Problem ◽  
Mean Variance

Abstract We consider the mean-variance hedging problem in the discrete time setting. Using the dynamic programming approach we obtain recurrent equations for an optimal strategy. Additionally, some technical restrictions of the previous works are removed.

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