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

• المؤلف الرئيسي: Pun, Chi Seng
• مؤلفون آخرون: School of Physical and Mathematical Sciences
• التنسيق: مقال
• اللغة: English
• منشور في: 2018
• الموضوعات: Dynamic Global Minimum-Variance Strategy; DRNTU::Science::Mathematics; Time-consistent Strategy
• الوصول للمادة أونلاين: https://hdl.handle.net/10356/85117; http://hdl.handle.net/10220/46283

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...