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"Mean-Quadratic Variation Portfolio Optimization: A Desirable Alternative ..."

Pieter M. van Staden, Duy-Minh Dang, Peter A. Forsyth (2019)

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DOI: 10.1137/18M1222570

access: closed

type: Journal Article

metadata version: 2019-11-04

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Pieter M. van Staden, Duy-Minh Dang, Peter A. Forsyth:
Mean-Quadratic Variation Portfolio Optimization: A Desirable Alternative to Time-Consistent Mean-Variance Optimization? SIAM J. Financial Math. 10(3): 815-856 (2019)

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