ON ROBUST MULTI-PERIOD PRE-COMMITMENT AND TIME-CONSISTENT MEAN-VARIANCE PORTFOLIO OPTIMIZATION (Q4595295)
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scientific article; zbMATH DE number 6813764
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | ON ROBUST MULTI-PERIOD PRE-COMMITMENT AND TIME-CONSISTENT MEAN-VARIANCE PORTFOLIO OPTIMIZATION |
scientific article; zbMATH DE number 6813764 |
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ON ROBUST MULTI-PERIOD PRE-COMMITMENT AND TIME-CONSISTENT MEAN-VARIANCE PORTFOLIO OPTIMIZATION (English)
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29 November 2017
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robust optimization
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mean-variance optimal asset allocation
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target-based strategy
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time-consistent strategy
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model prediction error
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