Continuous time mean variance asset allocation: A time-consistent strategy

J. Wang and P.A. Forsyth

European Journal of Operational Research, 2011, vol. 209, issue 2, 184-201

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.

Keywords: Time-consistent; mean; variance; asset; allocation; Piecewise; constant; policy; timestepping; Constrained; policies (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (60)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ejores:v:209:y:2011:i:2:p:184-201

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