Dynamic Asset Allocation in a Mean-Variance Framework
分析在允许连续再平衡的情况下，均值-方差有效的投资组合策略。当存在到期日为T的零息债券时，动态有效前沿是一条直线，其斜率可明确刻画。每项动态有效策略可视为两种基金的买入并持有组合：到期日为T的零息债券和一个连续再平衡的投资组合。
The aim of this article is to analyze the portfolio strategies that are mean-variance efficient when continuous rebalancing is allowed between the current date (0) and the horizon (T). Under very general assumptions, when a zero-coupon bond of maturity T exists, the dynamic efficient frontier is a straight line, the slope of which is explicitly characterized. Every dynamic mean-variance efficient strategy can be viewed as buy and hold combinations of two funds: the zero-coupon bond of maturity T and a continuously rebalanced portfolio. An appropriate dynamic strategy defining the latter is explicitly derived for two particular price processes and comparisons of the Efficient Frontiers (Static versus Dynamic) are provided in these cases.