ON TIME CONSISTENCY FOR MEAN-VARIANCE PORTFOLIO SELECTION
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Publication:5148009
DOI10.1142/S0219024920500429zbMath1457.91352OpenAlexW3083537523MaRDI QIDQ5148009
Publication date: 29 January 2021
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s0219024920500429
dynamic programmingtime inconsistencyBellman's optimality principlemean-variance portfolio selectionprecommitment approachconsistent planning approach
Related Items (7)
Utilitarian versus neutralitarian design of endowment fund policies ⋮ Tail Optimality and Preferences Consistency for Intertemporal Optimization Problems ⋮ Short term decumulation strategies for underspending retirees ⋮ An extended McKean-Vlasov dynamic programming approach to robust equilibrium controls under ambiguous covariance matrix ⋮ PRACTICAL INVESTMENT CONSEQUENCES OF THE SCALARIZATION PARAMETER FORMULATION IN DYNAMIC MEAN–VARIANCE PORTFOLIO OPTIMIZATION ⋮ Time-consistency of optimal investment under smooth ambiguity ⋮ On the Distribution of Terminal Wealth under Dynamic Mean-Variance Optimal Investment Strategies
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