The surprising robustness of dynamic mean-variance portfolio optimization to model misspecification errors
type: Item
instance of: scholarly article
title: The surprising robustness of dynamic mean-variance portfolio optimization to model misspecification errors
zbMATH Open document ID: 1487.91130
published in: European Journal of Operational Research
publication date: 2021-06-03T00:00:00Z
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 93E20
zbMATH DE Number: 7354354
zbMATH Keywords: asset allocation
zbMATH Keywords: constrained optimal control
zbMATH Keywords: time-consistent
zbMATH Keywords: mean-variance
author: Pieter M. Van Staden
author: D. M. Dang
author: P. A. Forsyth
MaRDI profile type: Publication
full work available at URL: j.ejor.2020.07.021
OpenAlex ID: W3045079306
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DOI: 10.1016/J.EJOR.2020.07.021
description: scientific article; zbMATH DE number 7354354