Practical investment consequences of the scalarization parameter formulation in dynamic mean-variance portfolio optimization (Q5157845)
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scientific article; zbMATH DE number 7411937
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| English | Practical investment consequences of the scalarization parameter formulation in dynamic mean-variance portfolio optimization |
scientific article; zbMATH DE number 7411937 |
Statements
PRACTICAL INVESTMENT CONSEQUENCES OF THE SCALARIZATION PARAMETER FORMULATION IN DYNAMIC MEAN–VARIANCE PORTFOLIO OPTIMIZATION (English)
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20 October 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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0.7765703201293945
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0.7626596093177795
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0.7516829371452332
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0.7499282360076904
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0.7475690841674805
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