The Discrete Approximate Iteration Method on the Mean-Variance Multiperiod Portfolio Selection
Peng Zhang · Shuxue de shijian yu renshi · 2009
The paper proposes the discrete approximate iteration method,and uses it to solve the multiperiod mean-variance portfolio selection model with the transaction costs and the constraints on trade volumes.Firstly,according to the network method,discretizes the state variables and transforms the model into multiperiod weighted digraph;Secondly,uses Jar-metric principle to solve the maximal path that is the admissible solution;At last,continues iterating until the two admissible solution is near based on the admissible solution.The paper also proves the convergence and complex of the method.