Dynamic asset allocation with mean variance preferences and a solvency constraint

Journal of Economic Dynamics and Control

Volumn 26, Issue 1, 2002, Pages 11-32

  Nguyen, Pascal ^a   Portait, Roland ^b  

^a AUDENCIA BUSINESS SCHOOL   (France)

^b ESSEC BUSINESS SCHOOL   (France)

Author keywords

Dynamic asset allocation; Mean variance efficiency; Portfolio patterns; Solvency constraint

Indexed keywords

EID: 0742265006     PISSN: 01651889     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0165-1889(00)00026-9     Document Type: Article

References (25)

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