The surprising robustness of dynamic mean-variance portfolio optimization to model misspecification errors (Q2029065)
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scientific article; zbMATH DE number 7354354
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| English | The surprising robustness of dynamic mean-variance portfolio optimization to model misspecification errors |
scientific article; zbMATH DE number 7354354 |
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The surprising robustness of dynamic mean-variance portfolio optimization to model misspecification errors (English)
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3 June 2021
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asset allocation
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constrained optimal control
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time-consistent
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mean-variance
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0.8006897568702698
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0.7599156498908997
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0.7564208507537842
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0.7435937523841858
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0.7400206923484802
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