The surprising robustness of dynamic Mean-Variance portfolio optimization to model misspecification errors

标题
The surprising robustness of dynamic Mean-Variance portfolio optimization to model misspecification errors
作者
关键词
Asset allocation, Constrained optimal control, Time-consistent, Mean-Variance,
出版物
出版商
Elsevier BV
发表日期
2020-07-26
DOI
10.1016/j.ejor.2020.07.021

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