Continuous time mean variance asset allocation: A time-consistent strategy
نویسندگان
چکیده
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 precommitment and time-consistent strategies are similar, but the optimal investment strategies are quite different.
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ورودعنوان ژورنال:
- European Journal of Operational Research
دوره 209 شماره
صفحات -
تاریخ انتشار 2011