Mean-Quadratic Variation Portfolio Optimization: A Desirable Alternative to Time-Consistent Mean-Variance Optimization?
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Publication:4971982
DOI10.1137/18M1222570;zbMath1427.91262MaRDI QIDQ4971982
Pieter M. Van Staden, Peter A. I. Forsyth, Duy Minh Dang
Publication date: 22 November 2019
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Full work available at URL: https://epubs.siam.org/doi/pdf/10.1137/18M1222570
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