On pre-commitment aspects of a time-consistent strategy for a mean-variance investor
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Publication:1656373
DOI10.1016/j.jedc.2016.07.010zbMath1401.91512OpenAlexW3121841951MaRDI QIDQ1656373
Publication date: 10 August 2018
Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)
Full work available at URL: https://ir.cwi.nl/pub/24773
Related Items (14)
Time-consistent mean-variance portfolio optimization: a numerical impulse control approach ⋮ Risk and potential: an asset allocation framework with applications to robo-advising ⋮ Survey on multi-period mean-variance portfolio selection model ⋮ ON ROBUST MULTI-PERIOD PRE-COMMITMENT AND TIME-CONSISTENT MEAN-VARIANCE PORTFOLIO OPTIMIZATION ⋮ Multiperiod Mean Conditional Value at Risk Asset Allocation: Is It Advantageous to Be Time Consistent? ⋮ Mean-variance dynamic optimality for DC pension schemes ⋮ Optimal Asset Allocation for Retirement Saving: Deterministic Vs. Time Consistent Adaptive Strategies ⋮ ON TIME CONSISTENCY FOR MEAN-VARIANCE PORTFOLIO SELECTION ⋮ Time-consistent mean-variance investment with unit linked life insurance contracts in a jump-diffusion setting ⋮ PRACTICAL INVESTMENT CONSEQUENCES OF THE SCALARIZATION PARAMETER FORMULATION IN DYNAMIC MEAN–VARIANCE PORTFOLIO OPTIMIZATION ⋮ The surprising robustness of dynamic mean-variance portfolio optimization to model misspecification errors ⋮ Time-consistency of optimal investment under smooth ambiguity ⋮ Mean-Quadratic Variation Portfolio Optimization: A Desirable Alternative to Time-Consistent Mean-Variance Optimization? ⋮ On the Distribution of Terminal Wealth under Dynamic Mean-Variance Optimal Investment Strategies
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