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Continuous time mean variance asset allocation: A time-consistent strategy
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DOI：10.1016/j.ejor.2010.09.038.png)
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Abstract
En 中文
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. (C) 2010 Elsevier B.V. All rights reserved.
Keywords:
Time-consistent mean variance
asset allocation
Piecewise constant policy timestepping
Constrained policies
Journal
IF:
6
Papers:
2.2W
Citations:
6.4W