Time consistent behavioral portfolio policy for dynamic mean–variance formulation
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DOI: 10.1057/s41274-017-0179-6
Abstract: Abstract When one considers an optimal portfolio policy under a mean-risk formulation, it is essential to correctly model investors’ risk aversion which may be time variant or even state dependent. In this paper, we propose… read more here.
Keywords: time consistent; portfolio; mean variance; time ... See more keywords