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Continuous time mean variance asset allocation: A time-consistent strategy

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  • Wang, J.
  • Forsyth, P.A.

Abstract

We 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.

Suggested Citation

  • Wang, J. & Forsyth, P.A., 2011. "Continuous time mean variance asset allocation: A time-consistent strategy," European Journal of Operational Research, Elsevier, vol. 209(2), pages 184-201, March.
  • Handle: RePEc:eee:ejores:v:209:y:2011:i:2:p:184-201
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    References listed on IDEAS

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