Continuous time mean variance asset allocation: A time-consistent strategy

We develop a numerical scheme for determining the optimal asset allocation strategy for time-consistent, continuous time, mean variance optimization. Any type of constraint can be applied to the investment policy. The optimal policies for time-consistent and pre-commitment strategies are compared. When realistic constraints are applied, the efficient frontiers for the precommitment and time-consistent strategies are similar, but the optimal investment strategies are quite different.

• Type: Journal
• Year: 2011
• Where: EOR
• Authors: J. Wang, P. A. Forsyth
• Keywords: EOR 2011, Mean Variance Optimization, Optimal Asset Allocation, Optimal Investment Strategies