Time-consistent mean-variance portfolio selection in discrete and continuous time

It is well known that mean-variance portfolio selection is a time-inconsistent optimal control problem in the sense that it does not satisfy Bellman’s optimality principle and therefore the usual dynamic programming approach fails. We develop a time-consistent formulation of this problem, which is b...

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Veröffentlicht in:Finance and stochastics 2013-04, Vol.17 (2), p.227-271
1. Verfasser: Czichowsky, Christoph
Format: Artikel
Sprache:eng
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