Article ID Journal Published Year Pages File Type
480890 European Journal of Operational Research 2011 18 Pages PDF
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)
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