Time-Consistent Strategies for Multi-Period Portfolio Optimization with/without the Risk-Free Asset

The pre-commitment and time-consistent strategies are the two most representative investment strategies for the classic multi-period mean-variance portfolio selection problem. In this paper, we revisit the case in which there exists one risk-free asset in the market and prove that the time-consisten...

Full description

Bibliographic Details
Main Authors: Zhongbao Zhou, Xianghui Liu, Helu Xiao, TianTian Ren, Wenbin Liu
Format: Article
Language:English
Published: Hindawi Limited 2018-01-01
Series:Mathematical Problems in Engineering
Online Access:http://dx.doi.org/10.1155/2018/7563093