ON ROBUST MULTI-PERIOD PRE-COMMITMENT AND TIME-CONSISTENT MEAN-VARIANCE PORTFOLIO OPTIMIZATION
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Publication:4595295
DOI10.1142/S0219024917500492zbMath1415.91257OpenAlexW2767813254MaRDI QIDQ4595295
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Publication date: 29 November 2017
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s0219024917500492
robust optimizationtime-consistent strategymodel prediction errormean-variance optimal asset allocationtarget-based strategy
Numerical methods (including Monte Carlo methods) (91G60) Optimal stochastic control (93E20) Portfolio theory (91G10)
Related Items (5)
Robust portfolio optimization: a categorized bibliographic review ⋮ Risk and potential: an asset allocation framework with applications to robo-advising ⋮ Continuous-time portfolio optimization for absolute return funds ⋮ The surprising robustness of dynamic mean-variance portfolio optimization to model misspecification errors ⋮ On the Distribution of Terminal Wealth under Dynamic Mean-Variance Optimal Investment Strategies
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