The surprising robustness of dynamic Mean-Variance portfolio optimization to model misspecification errors
Pieter M. van Staden, Duy-Minh Dang, Peter A. Forsyth
| Year of publication: |
2021
|
|---|---|
| Authors: | Staden, Pieter M. van ; Dang, Duy Minh ; Forsyth, Peter |
| Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 289.2021, 2 (1.3.), p. 774-792
|
| Subject: | Asset allocation | Constrained optimal control | Time-consistent | Mean-Variance | Portfolio-Management | Portfolio selection | Mathematische Optimierung | Mathematical programming | Kontrolltheorie | Control theory | Modellierung | Scientific modelling |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ejor.2020.07.021 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012416872