Multi-period mean-variance portfolio optimization with management fees

被引：9
|
作者：
Cui, Xiangyu [1 ]
Gao, Jianjun [2 ]
Shi, Yun [3 ]
机构：
[1] Shanghai Univ Finance & Econ, Sch Stat & Management, Shanghai Inst Int Finance & Econ, Shanghai, Peoples R China
[2] Shanghai Univ Finance & Econ, Sch Informat Management & Engn, Shanghai, Peoples R China
[3] East China Normal Univ, Fac Econ & Management, Inst Stat & Interdisciplinary Sci, Shanghai, Peoples R China
来源：
OPERATIONAL RESEARCH | 2021年 / 21卷 / 02期
基金：
中国国家自然科学基金;
关键词：
Dynamic mean-variance portfolio selection; Management fee; Dynamic programming; TRANSACTION COSTS; SELECTION; BANKRUPTCY; CONTRACTS; MARKET; POLICY; MODEL;
D O I：
10.1007/s12351-019-00482-4
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：
Due to limited capital and limited information from stock market, some individual investors prefer to construct a portfolio of funds instead of stocks. But, there will be management fees paid to the fund managers during the investment, which are in general proportional to the net asset value of the funds. Motivated by this phenomena, this paper considers multi-period mean-variance portfolio optimization problem with proportional management fees. Using stochastic dynamic programming, we derive the semi-analytical optimal portfolio policy. Our result helps clarify the benefit and cost of adopting such dynamic portfolio policy with management fees.
引用
收藏
页码：1333 / 1354
页数：22
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