In contrast to single-period mean-variance portfolio allocation, optimal multi-period mean-variance allocation can be modified slightly to be effectively a down-side risk measure. With this in mind, we consider optimal multi-period mean-variance portfolio allocation in the presence of periodic...

Target Date Funds have become very popular with investors saving for retirement. The main feature of these funds is that investors are automatically switched from high risk to low risk assets as retirement approaches. However, our analysis brings into question the rationale behind these funds....

We generalize the idea of semi-self-financing strategies, originally discussed in Ehrbar, Journal of Economic Theory (1990), and later formalized in em Cui et al, Mathematical Finance 22 (2012), for the pre-commitment mean-variance (MV) optimal portfolio allocation problem. The proposed...

Members of defined contribution (DC) pension plans must take on additional responsibilities for their investments, compared to participants in defined benefit (DB) pension plans. The transition from DB to DC plans means that more employees are faced with these responsibilities. We explore the...

We formulate the multi-period, time consistent mean-CVAR (Conditional Value at Risk) asset allocation problem in a form amenable to numerical computation. Our numerical algorithm can impose realistic constraints such as: no shorting, no-leverage, and discrete rebalancing. We focus on long term...

We present efficient partial differential equation (PDE) methods for continuous time mean-variance portfolio allocation problems when the underlying risky asset follows a jump-diffusion. The standard formulation of mean-variance optimal portfolio allocation problems, where the total wealth is...