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

J. WangPeter A. Forsyth
Published in: Eur. J. Oper. Res. (2011)
Keyphrases
  • asset allocation
  • portfolio management
  • portfolio selection
  • optimal portfolio
  • markov chain
  • state space
  • stock market
  • genetic algorithm
  • monte carlo
  • utility function
  • optimal control
  • portfolio optimization