Mean-Quadratic Variation Portfolio Optimization: A...

SIAM Journal on Financial Mathematics 2019 / 01 Vol. 10; Iss. 3

Mean-Quadratic Variation Portfolio Optimization: A Desirable Alternative to Time-Consistent Mean-Variance Optimization?

van Staden, Pieter M., Dang, Duy-Minh, Forsyth, Peter A.
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Volume:
10
Language:
english
Journal:
SIAM Journal on Financial Mathematics
DOI:
10.1137/18M1222570
Date:
January, 2019
File:
PDF, 1.08 MB
english, 2019
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