Survey on Multi-period Mean–Variance Portfolio Selection Model

Cui, Xiangyu; Gao, Jianjun; Li, Xun; Shi, Yun

doi:10.1007/s40305-022-00397-6

J. Oper. Res. Soc. China

2022

DOI: 10.1007/s40305-022-00397-6

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Survey on Multi-period Mean–Variance Portfolio Selection Model

Xiangyu Cui

Jianjun Gao

Xun Li

et al.

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Cited by 4 publications

References 64 publications

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Nonconvex multi-period mean-variance portfolio optimization

Wu¹,

Xie²,

Zhang³

et al. 2023

Ann Oper Res

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In this paper, we address the problem of long-term investment by exploring optimal strategies for allocating wealth among a finite number of assets over multiple periods. Based on the classical Markowitz mean-variance philosophy, we develop a new portfolio optimization framework which can produce sparse portfolios. The sparsity of the portfolio at each and across periods is characterized by the possibly nonconvex penalties. For the constructed nonconvex and nonsmooth constrained model, we propose a generalized alternating direction method of multipliers and its global convergence to a stationary point can be guaranteed theoretically. Moreover, some numerical experiments are conducted on several datasets generated from practical applications to illustrate the effectiveness and advantage of the proposed model and solving method.

show abstract

Nonconvex multi-period mean-variance portfolio optimization

Wu¹,

Xie²,

Zhang³

et al. 2023

Ann Oper Res

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show abstract

A unified algorithm framework for mean-variance optimization in discounted Markov decision processes

Xia

2023

European Journal of Operational Research

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Reinforcement learning for continuous-time mean-variance portfolio selection in a regime-switching market

Wu,

2024

Journal of Economic Dynamics and Control

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Survey on Multi-period Mean–Variance Portfolio Selection Model

Cited by 4 publications

References 64 publications

Nonconvex multi-period mean-variance portfolio optimization

Nonconvex multi-period mean-variance portfolio optimization

A unified algorithm framework for mean-variance optimization in discounted Markov decision processes

Reinforcement learning for continuous-time mean-variance portfolio selection in a regime-switching market

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