Continuous time mean variance asset allocation: A time-consistent strategy
AbstractWe develop a numerical scheme for determining the optimal asset allocation strategy for time-consistent, continuous time, mean variance optimization. Any type of constraint can be applied to the investment policy. The optimal policies for time-consistent and pre-commitment strategies are compared. When realistic constraints are applied, the efficient frontiers for the pre-commitment and time-consistent strategies are similar, but the optimal investment strategies are quite different.
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Bibliographic InfoArticle provided by Elsevier in its journal European Journal of Operational Research.
Volume (Year): 209 (2011)
Issue (Month): 2 (March)
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Web page: http://www.elsevier.com/locate/eor
Time-consistent mean variance asset allocation Piecewise constant policy timestepping Constrained policies;
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