Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
480890 | European Journal of Operational Research | 2011 | 18 Pages |
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.
Related Topics
Physical Sciences and Engineering
Computer Science
Computer Science (General)
Authors
J. Wang, P.A. Forsyth,