caa a22 4500 445842075 CHVBK 20180317145347.0 cr unu---uuuuu 170323e20110801xx s 000 0 eng 10.1007/s00245-011-9134-0 doi (NATIONALLICENCE)springer-10.1007/s00245-011-9134-0 Multiperiod Mean-Variance Portfolio Optimization via Market Cloning [Elektronische Daten] [Stefan Ankirchner, Azzouz Dermoune] The problem of finding the mean variance optimal portfolio in a multiperiod model can not be solved directly by means of dynamic programming. In order to find a solution we therefore first introduce independent market clones having the same distributional properties as the original market, and we replace the portfolio mean and variance by their empirical counterparts. We then use dynamic programming to derive portfolios maximizing a weighted sum of the empirical mean and variance. By letting the number of market clones converge to infinity we are able to solve the original mean variance problem. Springer Science+Business Media, LLC, 2011 Dynamic programming nationallicence Mean variance optimization nationallicence Optimal portfolios nationallicence Market clones nationallicence Independent returns nationallicence Empirical mean nationallicence Ankirchner Stefan Institut für Angewandte Mathematik, Hausdorff Center for Mathematics, Rheinische Friedrich-Wilhelms-Universität Bonn, Endenicher Allee 60, 53115, Bonn, Germany aut Dermoune Azzouz Laboratoire Paul Painleve UMR CNRS 8524, Université des Sciences et Technologies de Lille, U.F.R. de Mathématiques—Bât. M2, 59655, Villeneuve d'Ascq Cedex, France aut Applied Mathematics & Optimization Springer-Verlag 64/1(2011-08-01), 135-154 0095-4616 64:1<135 2011 64 245 https://doi.org/10.1007/s00245-011-9134-0 text/html Onlinezugriff via DOI 1 research-article jats NATIONALLICENCE 856 40 https://doi.org/10.1007/s00245-011-9134-0 text/html Onlinezugriff via DOI NATIONALLICENCE 700 1- Ankirchner Stefan Institut für Angewandte Mathematik, Hausdorff Center for Mathematics, Rheinische Friedrich-Wilhelms-Universität Bonn, Endenicher Allee 60, 53115, Bonn, Germany aut NATIONALLICENCE 700 1- Dermoune Azzouz Laboratoire Paul Painleve UMR CNRS 8524, Université des Sciences et Technologies de Lille, U.F.R. de Mathématiques—Bât. M2, 59655, Villeneuve d'Ascq Cedex, France aut NATIONALLICENCE 773 0- Applied Mathematics & Optimization Springer-Verlag 64/1(2011-08-01), 135-154 0095-4616 64:1<135 2011 64 245 Metadata rights reserved Springer special CC-BY-NC licence nationallicence BK010053 XK010053 XK010000 NATIONALLICENCE NATIONALLICENCE NL-springer