A paradox of the mean variance setting for the long term investor

DOI10.1007/978-3-319-00669-7_5zbMATH Open1296.91252OpenAlexW124063522MaRDI QIDQ4979401FDOQ4979401

Authors: Abraham Lioui 

Publication date: 20 June 2014

Published in: International Series in Operations Research & Management Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-00669-7_5

Recommendations

• Understanding dynamic mean variance asset allocation
• The investment horizon problem: a possible resolution
• Mean-variance versus expected utility in dynamic investment analysis
• Portfolios and risk premia for the long run
• Horizon length and portfolio risk

zbMATH Keywords

mean variancedynamic portfolio choice

Mathematics Subject Classification ID

Dynamic programming (90C39) Portfolio theory (91G10)

Cited In (6)

• Can long-run dynamic optimal strategies outperform fixed-mix portfolios? Evidence from multiple data sets
• Optimal value and growth tilts in long-horizon portfolios
• Portfolios for long-term investors
• Horizon length and portfolio risk
• Understanding dynamic mean variance asset allocation
• PORTFOLIO CHOICE WITH TIME HORIZON RISK

This page was built for publication: A paradox of the mean variance setting for the long term investor

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4979401)