Time-Consistent Strategies for the Generalized Multiperiod Mean-Variance Portfolio Optimization Considering Benchmark Orientation
In this paper, we propose a generalized multiperiod mean-variance portfolio optimization based on consideration of benchmark orientation and intertemporal restrictions, in which the investors not only focus on their own performance but also tend to compare the performance gap between themselves and...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2019-08-01
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| Series: | Mathematics |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2227-7390/7/8/723 |