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|Title:||Continuous-time mean-variance efficiency: The 80% rule|
|Authors:||Li, X. |
|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|
|Appears in Collections:||Staff Publications|
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