Continuous time mean variance asset allocation: A time-consistent strategy
We develop a numerical scheme for determining the optimal asset allocation strategy for time-consistent, continuous time, mean variance optimization. Any type of constraint can be applied to the investment policy. The optimal policies for time-consistent and pre-commitment strategies are compared. When realistic constraints are applied, the efficient frontiers for the pre-commitment and time-consistent strategies are similar, but the optimal investment strategies are quite different.
Year of publication: |
2011
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Authors: | Wang, J. ; Forsyth, P.A. |
Published in: |
European Journal of Operational Research. - Elsevier, ISSN 0377-2217. - Vol. 209.2011, 2, p. 184-201
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Publisher: |
Elsevier |
Keywords: | Time-consistent mean variance asset allocation Piecewise constant policy timestepping Constrained policies |
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