Speaker: Thamayanthi Chellathurai
Title: Markowitz Principles for Multi-period Portfolio Selection Problems
Affiliation: Canadian Imperial Bank of Commerce
Date: Monday, February 6, 2006.
Place and Time: Room 101 - Love Building, 3:35-4:30 pm.
Refreshments: Room 204 - Love Building, 3:00 pm.

Abstract. The seminal Markowitz principle is used to generate the set of investments for risk-averse individuals. It makes use of the first two moments of underlying risky assets for an investment horizon of one period only. The objective of this talk is to present the multi-period portfolio selection problem as the Markowitz optimization problem in terms of time-varying means, covariances, and higher order moments of asset prices. Numerical results are presented for the discrete version of the continuous-time Merton's portfolio selection problem. It is sufficient to rebalance the portfolio a few times in order to get more than ninety five percent of the gain due to continuous trading.