Time consistent policy of multi-period mean-variance problem in stochastic markets
Work
Year: 2015
Type: article
Abstract: Due to the non-separability of the variance operator, the optimalinvestment policy of the multi-period mean-variance model inMarkovian markets doesn't satisfy the time consistency. We propose anew wea... more
Authors Zhiping Chen, Jia Liu, Gang Li
Institution Xi'an Jiaotong University
Cites: 36
Cited by: 4
Related to: 10
FWCI: 1.533
Citation percentile (by year/subfield): 64.94
Subfield: Finance
Domain: Social Sciences
Open Access status: bronze