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Working Papers (1998), ESSEC Business School

Dynamic Mean-variance Efficiency and Strategic Asset Allocation with a Solvency Constraint

NGUYEN P. D., PORTAIT Roland

The aim of this article is to analyze the portfolio strategies that are mean-variance efficient when continuous rebalancing is allowed and a solvency constraint (wealth positiveness) is imposed at each point of time. A closed form formula is obtained and used to simulate dynamically efficient strategies for different horizons and targets, and to describe the time pattern of the allocation to stocks versus bills and bonds.

NGUYEN, P.D. and PORTAIT, R. (1998). Dynamic Mean-variance Efficiency and Strategic Asset Allocation with a Solvency Constraint. ESSEC Business School.