A dynamic mean-variance model of portfolio selection under parameter uncertainty
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    Abstract:

    The standard mean-variance portfolio selection model assumes that investors exactly know the seurity parameters,neglecting the effect of parameter uncertainty on portfolio selection.This paper investigates a continuous。time mean-variance portfolio selection problem under parameter uncertainty and Bayesian learning. The problem is solved by using a martingale approach,and the optimal investment strategy and the mean-variance efficient frontier are derived in closed form.Based on these results.we sive an empirical analysis with data from Chinese security markets.The analysis shows that parameter uncertainty has a great effect on the optimal investment strategy and the investment performance.

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  • Online: March 28,2018
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