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  • Search: subject:"Convergence of optimal trading strategies"
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Convergence of optimal trading strategies 1 Föllmer–Schweizer decomposition 1 Local risk minimisation 1 Markowitz problem 1 Mean-variance criterion 1 Portfolio optimisation 1 Time consistency 1 Time-inconsistent optimal control 1
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Czichowsky, Christoph 1
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Finance and Stochastics 1
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Time-consistent mean-variance portfolio selection in discrete and continuous time
Czichowsky, Christoph - In: Finance and Stochastics 17 (2013) 2, pp. 227-271
It is well known that mean-variance portfolio selection is a time-inconsistent optimal control problem in the sense that it does not satisfy Bellman’s optimality principle and therefore the usual dynamic programming approach fails. We develop a time-consistent formulation of this problem,...
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