Please use this identifier to cite or link to this item: https://doi.org/10.1214/105051606000000349
Title: Continuous-time mean-variance efficiency: The 80% rule
Authors: Li, X. 
Zhou, X.Y.
Keywords: Continuous time
Goalachieving
Hitting time
Mean-variance efficiency
Portfolio selection
Issue Date: Nov-2006
Citation: Li, X., Zhou, X.Y. (2006-11). Continuous-time mean-variance efficiency: The 80% rule. Annals of Applied Probability 16 (4) : 1751-1763. ScholarBank@NUS Repository. https://doi.org/10.1214/105051606000000349
Abstract: 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. © Institute of Mathematical Statistics, 2006.
Source Title: Annals of Applied Probability
URI: http://scholarbank.nus.edu.sg/handle/10635/103062
ISSN: 10505164
DOI: 10.1214/105051606000000349
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