Continuous time mean variance asset allocation: a time-consistent strategy
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Publication:621709
DOI10.1016/J.EJOR.2010.09.038zbMATH Open1208.91139OpenAlexW2056981121MaRDI QIDQ621709FDOQ621709
Authors: J. Wang, P. A. Forsyth 
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
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constrained policiespiecewise constant policy timesteppingtime-consistent mean variance asset allocation
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