Continuous time mean variance asset allocation: a time-consistent strategy

DOI10.1016/j.ejor.2010.09.038zbMath1208.91139MaRDI QIDQ621709

J. Wang, Peter A. I. Forsyth

Publication date: 28 January 2011

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2010.09.038

zbMATH Keywords

constrained policies; piecewise constant policy timestepping; time-consistent mean variance asset allocation

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

91G10: Portfolio theory

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