On robust multi-period pre-commitment and time-consistent mean-variance portfolio optimization
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Publication:4595295
DOI10.1142/S0219024917500492zbMATH Open1415.91257OpenAlexW2767813254MaRDI QIDQ4595295FDOQ4595295
Authors:
Publication date: 29 November 2017
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s0219024917500492
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robust optimizationtime-consistent strategymodel prediction errormean-variance optimal asset allocationtarget-based strategy
Numerical methods (including Monte Carlo methods) (91G60) Portfolio theory (91G10) Optimal stochastic control (93E20)
Cites Work
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- On pre-commitment aspects of a time-consistent strategy for a mean-variance investor
Cited In (14)
- Continuous time mean variance asset allocation: a time-consistent strategy
- On pre-commitment aspects of a time-consistent strategy for a mean-variance investor
- The surprising robustness of dynamic mean-variance portfolio optimization to model misspecification errors
- On the distribution of terminal wealth under dynamic mean-variance optimal investment strategies
- Time-consistent strategies for multi-period portfolio optimization with/without the risk-free asset
- Robust portfolio optimization: a categorized bibliographic review
- Pre-commitment vs. time-consistent strategies for the generalized multi-period portfolio optimization with stochastic cash flows
- Better than pre-commitment mean-variance portfolio allocation strategies: a semi-self-financing Hamilton-Jacobi-Bellman equation approach
- Time-consistent strategies for multi-period mean-variance portfolio optimization with the serially correlated returns
- Precommitted strategies with initial-time and intermediate-time value-at-risk constraints
- Risk and potential: an asset allocation framework with applications to robo-advising
- Continuous-time portfolio optimization for absolute return funds
- Time consistent vs. time inconsistent dynamic asset allocation: some utility cost calculations for mean variance preferences
- Multiperiod mean conditional value at risk asset allocation: is it advantageous to be time consistent?
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