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

Published 2012 View Full Article

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Title
Time-consistent mean-variance portfolio selection in discrete and continuous time
Authors
Keywords
Mean-variance criterion, Markowitz problem, Portfolio optimisation, Time consistency, Time-inconsistent optimal control, Local risk minimisation, Föllmer–Schweizer decomposition, Convergence of optimal trading strategies, 91G10, 93E20, 60G48, G11, C61
Journal
FINANCE AND STOCHASTICS
Volume 17, Issue 2, Pages 227-271
Publisher
Springer Nature
Online
2012-07-02
DOI
10.1007/s00780-012-0189-9
References
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