Understanding dynamic mean variance asset allocation
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Publication:323338
DOI10.1016/J.EJOR.2016.04.003zbMATH Open1346.91213OpenAlexW3123049837MaRDI QIDQ323338FDOQ323338
Authors: Abraham Lioui, Patrice Poncet 
Publication date: 7 October 2016
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2016.04.003
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Cited In (17)
- Momentum and mean reversion in strategic asset allocation
- Dynamic asset allocation in a mean-variance framework
- Dynamic asset allocation with mean variance preferences and a solvency constraint
- Horses for courses: mean-variance for asset allocation and \(1/N\) for stock selection
- Optimal dynamic longevity hedge with basis risk
- Mixed-asset portfolio allocation under mean-reverting asset returns
- Semi-analytical solutions for dynamic portfolio choice in jump-diffusion models and the optimal bond-stock mix
- Behavioral mean-variance portfolio selection
- A paradox of the mean variance setting for the long term investor
- Dynamic asset allocation: insights from theory
- Dynamic asset allocation with predictable asset return
- Optimal Asset Allocation for Retirement Saving: Deterministic Vs. Time Consistent Adaptive Strategies
- Estimation of the global minimum variance portfolio in high dimensions
- Dynamic portfolio management with views at multiple horizons
- PORTFOLIO CHOICE WITH TIME HORIZON RISK
- On horizon-consistent mean-variance portfolio allocation
- Robust asset allocation for long-term target-based investing
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