Portfolio Selection: A Review

被引：19
|
作者：
Detemple, Jerome [1 ]
机构：
[1] Boston Univ, Sch Management, Boston, MA 02215 USA
来源：
JOURNAL OF OPTIMIZATION THEORY AND APPLICATIONS | 2014年 / 161卷 / 01期
关键词：
Portfolio choice; Mean-variance model; Diffusion models; Complete markets; Monte Carlo simulation; Malliavin derivative; Dynamic hedging; Bond numeraire; DYNAMIC ASSET ALLOCATION; OPTIMAL CONSUMPTION; SMALL INVESTOR; TERM STRUCTURE; PRICES FOLLOW; RISK-AVERSION; MARTINGALE; RETURNS; MODEL; DECOMPOSITION;
D O I：
10.1007/s10957-012-0208-1
中图分类号：
C93 [管理学]; O22 [运筹学];
学科分类号：
070105 ; 12 ; 1201 ; 1202 ; 120202 ;
摘要：
This paper reviews portfolio selection models and provides perspective on some open issues. It starts with a review of the classic Markowitz mean-variance framework. It then presents the intertemporal portfolio choice approach developed by Merton and the fundamental notion of dynamic hedging. Martingale methods and resulting portfolio formulas are also reviewed. Their usefulness for economic insights and numerical implementations is illustrated. Areas of future research are outlined.
引用
收藏
页码：1 / 21
页数：21
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