On the Distribution of Terminal Wealth under Dynamic Mean-Variance Optimal Investment Strategies
| Autor: | Duy-Minh Dang, Peter Forsyth, Pieter M. van Staden |
|---|---|
| Rok vydání: | 2021 |
| Předmět: |
Numerical Analysis
050208 finance Investment strategy business.industry Applied Mathematics 05 social sciences Asset allocation Distribution (economics) 01 natural sciences 010104 statistics & probability Terminal (electronics) 0502 economics and business Econometrics Mean variance 0101 mathematics business Finance Mathematics |
| Zdroj: | SIAM Journal on Financial Mathematics. 12:566-603 |
| ISSN: | 1945-497X |
| Popis: | We compare the distributions of terminal wealth obtained from implementing the optimal investment strategies associated with the different approaches to dynamic mean-variance (MV) optimization avai... |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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