On robust multi-period pre-commitment and time-consistent mean-variance portfolio optimization (Q4595295)
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scientific article; zbMATH DE number 6813764
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| English | On robust multi-period pre-commitment and time-consistent mean-variance portfolio optimization |
scientific article; zbMATH DE number 6813764 |
Statements
ON ROBUST MULTI-PERIOD PRE-COMMITMENT AND TIME-CONSISTENT MEAN-VARIANCE PORTFOLIO OPTIMIZATION (English)
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29 November 2017
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robust optimization
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mean-variance optimal asset allocation
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target-based strategy
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time-consistent strategy
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model prediction error
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0.8598015904426575
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0.847623884677887
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0.8468107581138611
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0.8455250263214111
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0.8430942893028259
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