On horizon-consistent mean-variance portfolio allocation
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DOI: 10.1007/s10479-022-04798-x
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More about this item
Keywords
Return decomposition; Multiple horizons; Horizon consistency; Mean-variance frontier; Martingale pricing; Stochastic interest rates;All these keywords.
JEL classification:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
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