Mean-Quadratic Variation Portfolio Optimization: A Desirable Alternative to Time-Consistent Mean-Variance Optimization?
van Staden, Pieter M., Dang, Duy-Minh, Forsyth, Peter A.Volume:
10
Langue:
english
Journal:
SIAM Journal on Financial Mathematics
DOI:
10.1137/18M1222570
Date:
January, 2019
Fichier:
PDF, 1.08 MB
english, 2019