Title of article :
Continuous time mean variance asset allocation: A time-consistent strategy
Author/Authors :
J. Wang، نويسنده , , P.A. Forsyth، نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 2011
Abstract :
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.
Keywords :
Piecewise constant policy timestepping , Constrained policies , Time-consistent mean variance asset allocation
Journal title :
European Journal of Operational Research
Journal title :
European Journal of Operational Research