Time-consistent mean-variance portfolio selection with only risky assets

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...

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書目詳細資料
主要作者:	Pun, Chi Seng
其他作者:	School of Physical and Mathematical Sciences
格式:	Article
語言:	English
出版:	2018
主題:	Dynamic Global Minimum-Variance Strategy DRNTU::Science::Mathematics Time-consistent Strategy
在線閱讀:	https://hdl.handle.net/10356/85117 http://hdl.handle.net/10220/46283
標簽:	添加標簽沒有標簽, 成為第一個標記此記錄!
機構:	Nanyang Technological University
語言:	English

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