Mean-variance portfolio optimization when each asset has individual uncertain exit-time

The standard markowitz mean-variance optimization model is a single-period portfolio selection approach where the exit-time (or the time-horizon) is deterministic. in this paper the mean-variance portfolio selection problem has been studied with uncertain exit-time when each asset has individual uncertain exit-time,which generalizes the markowitz's model. some conditions are provided under which the optimal portfolio of the generalized problem is independent of the exit-times distributions. also,it is shown that under some general circumstances,the sets of optimal portfolios in the generalized model and the standard model are the same. © 2016,pak.j.stat.oper.res. all rights reserved.