首页 | 本学科首页   官方微博 | 高级检索  
     检索      


Continuous time mean variance asset allocation: A time-consistent strategy
Authors:J Wang  PA Forsyth
Institution:David R. Cheriton School of Computer Science, University of Waterloo, Waterloo ON, Canada N2L 3G1
Abstract: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.
Keywords:Time-consistent mean variance asset allocation  Piecewise constant policy timestepping  Constrained policies
本文献已被 ScienceDirect 等数据库收录!
设为首页 | 免责声明 | 关于勤云 | 加入收藏

Copyright©北京勤云科技发展有限公司  京ICP备09084417号