The surprising robustness of dynamic mean-variance portfolio optimization to model misspecification errors
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Publication:2029065
DOI10.1016/j.ejor.2020.07.021zbMath1487.91130OpenAlexW3045079306MaRDI QIDQ2029065
Duy Minh Dang, Peter A. I. Forsyth, Pieter M. Van Staden
Publication date: 3 June 2021
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2020.07.021
Related Items (10)
Tail Optimality and Preferences Consistency for Intertemporal Optimization Problems ⋮ Multi-period portfolio optimization using model predictive control with mean-variance and risk parity frameworks ⋮ Survey on multi-period mean-variance portfolio selection model ⋮ Distortion risk measure under parametric ambiguity ⋮ BEATING A CONSTANT WEIGHT BENCHMARK: EASIER DONE THAN SAID ⋮ Portfolio selection with exploration of new investment assets ⋮ Optimal dynamic longevity hedge with basis risk ⋮ PRACTICAL INVESTMENT CONSEQUENCES OF THE SCALARIZATION PARAMETER FORMULATION IN DYNAMIC MEAN–VARIANCE PORTFOLIO OPTIMIZATION ⋮ Time-consistency of optimal investment under smooth ambiguity ⋮ Utility basis of consumption and investment decisions in a risk environment
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