We consider the portfolio selection problem in the accumulation phase of a defined contribution (DC) pension scheme. We solve the mean-variance portfolio selection problem using the embedding technique pioneered by Zhou and Li (2000) and show that it is equivalent to a target-based optimization...

Mean–variance portfolio choice is often criticized as sub-optimal in the more general expected utility framework. It is argued that the expected utility framework takes into consideration higher moments ignored by mean variance analysis. A body of research suggests that mean–variance choice,...

We consider in this paper the mean–variance formulation in multi-period portfolio selection under no-shorting constraint. Recognizing the structure of a piecewise quadratic value function, we prove that the optimal portfolio policy is piecewise linear with respect to the current wealth level,...