Time-consistent mean-variance portfolio selection with only risky assets
Time consistency and optimal diversification criteria are popular in the dynamic portfolio construction in practice. This paper is devoted to the exact analytical solution of the time-consistent mean-variance portfolio selection with assets that can be all risky in a continuous-time economy, of whic...
Saved in:
| Main Author: | |
|---|---|
| Other Authors: | |
| Format: | Article |
| Language: | English |
| Published: |
2018
|
| Subjects: | |
| Online Access: | https://hdl.handle.net/10356/85117 http://hdl.handle.net/10220/46283 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| Institution: | Nanyang Technological University |
| Language: | English |