Dynamic portfolio frontier in a mean-variance framework

The dynamic portfolio frontier theory in a mean-variance framework previously developed by scholars suffers some limitations. Specifically, the theory assumes the use of the martingale approach, the assumption of a complete market and particular probability distribution of asset returns. Accordingly, under relaxing these limitations, this study develops a calculation process for explicitly deriving the dynamic portfolio frontier and the corresponding dynamic asset allocation. Finally, for comparison, this study provides a numerical example and then draws the dynamic and static portfolio frontiers on the same graph.