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Conference Proceedings (1998), Journées Internationales de Finance 98, Association Française de Finance (AFFI)

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

NGUYEN P. D., PORTAIT Roland

The aim of this article is to analyse the portfolio strategies that are mean-variance efficient when continuous rebalancing is allowed and a slovency constraint (wealth positiveness) is imposed at each point of time. A closed fromula 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. In: Journées Internationales de Finance 98. Association Française de Finance (AFFI).