Comparison of mean variance like strategies for optimal asset allocation problems

International Journal of Theoretical and Applied Finance

Volumn 15, Issue 2, 2012, Pages

  Wang, J ^a   Forsyth, P A ^a  

^a UNIVERSITY OF WATERLOO   (Canada)

Author keywords

HJB equation; Mean quadratic variation investment policy; mean variance asset allocation; optimal control

Indexed keywords

EID: 84859539283     PISSN: 02190249     EISSN: None     Source Type: Journal    
DOI: 10.1142/S0219024912500148     Document Type: Article

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