It is well known that under certain assumptions the strategy of an investor maximizing his expected utility coincides with the mean-variance optimal strategy. In this paper we show that the two strategies are not equal in general and find the connection between a utility maximizing and a...

This paper describes one proposition about dynamic Markowitz portfolio selection in an open economy. Here it is proved that, assuming that two countries in an open economy share the same risk absolute aversion coefficient and the same information set with some conditions, the portfolio each...

Many investors do not know with certainty when their portfolio will be liquidated. Should their portfolio selection be influenced by the uncertainty of exit time? In order to answer this question, we consider a suitable extension of the familiar optimal investment problem of Merton [Merton,...

Based on cluster analysis, a novel method is introduced in this paper to generate multistage scenarios. A linear programming model is proposed to exclude the arbitrage opportunity by appending a scenario to the generated scenario set. By means of a cited stochastic linear goal programming...