Robust asset allocation for long-term target-based investing
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Cites work
- Better than dynamic mean-variance: time inconsistency and free cash flow stream
- Better than pre-commitment mean-variance portfolio allocation strategies: a semi-self-financing Hamilton-Jacobi-Bellman equation approach
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- Preservation of scalarization optimal points in the embedding technique for continuous time mean variance optimization
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- The Stationary Bootstrap
Cited in
(22)- The surprising robustness of dynamic mean-variance portfolio optimization to model misspecification errors
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- Long-term real dynamic investment planning
- Optimal dynamic asset allocation for DC plan accumulation/decumulation: ambition-CVaR
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