On Reference-Regulated Multiperiod Mean-Variance Portfolio Optimization in High Dimensions
高维参考调节多期均值-方差投资组合优化
The multiperiod mean-variance (MV) portfolio optimization serves as a vital expansion of Markowitz's static MV portfolio selection framework. Just like its static counterpart, the multiperiod MV portfolio remains susceptible to estimation errors. We propose a reference-regulated multiperiod mean-variance (RRMV) framework that penalizes deviations from a reference policy. Therefore, this new optimization successfully combines the advantages of dynamic strategies and reference…