"Better than pre-commitment mean-variance portfolio allocation strategies: ..."

Duy-Minh Dang, Peter A. Forsyth (2016)

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DOI: 10.1016/J.EJOR.2015.10.015

access: closed

type: Journal Article

metadata version: 2020-02-21

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Duy-Minh Dang, Peter A. Forsyth:
Better than pre-commitment mean-variance portfolio allocation strategies: A semi-self-financing Hamilton-Jacobi-Bellman equation approach. Eur. J. Oper. Res. 250(3): 827-841 (2016)

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