Continuous time mean variance asset allocation: a time-consistent strategy
From MaRDI portal
Publication:621709
DOI10.1016/j.ejor.2010.09.038zbMath1208.91139MaRDI QIDQ621709
Publication date: 28 January 2011
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2010.09.038
constrained policies; piecewise constant policy timestepping; time-consistent mean variance asset allocation
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