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

European Journal of Operational Research

Volumn 209, Issue 2, 2011, Pages 184-201

  Wang, J ^a   Forsyth, P A ^a  

^a UNIVERSITY OF WATERLOO   (Canada)

Author keywords

Constrained policies; Piecewise constant policy timestepping; Time consistent mean variance asset allocation

Indexed keywords

ASSET ALLOCATION; COMMITMENT STRATEGY; CONSTRAINED POLICIES; CONTINUOUS TIME; EFFICIENT FRONTIER; INVESTMENT POLICIES; MEAN VARIANCE; NUMERICAL SCHEME; OPTIMAL INVESTMENTS; OPTIMAL POLICIES; PIECEWISE CONSTANT; TIME-CONSISTENT MEAN VARIANCE ASSET ALLOCATION;

CONTINUOUS TIME SYSTEMS; OPTIMIZATION; RISK ASSESSMENT;

INVESTMENTS;

EID: 78649488573     PISSN: 03772217     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.ejor.2010.09.038     Document Type: Article

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