Mean-Variance Portfolio Selection with Dynamic Targets for Expected Terminal Wealth

Research output: Journal article publication › Journal article › Academic research › peer-review

Original language	English
Pages (from-to)	587 - 615
Number of pages	29
Journal	Mathematics of Operations Research
Volume	47
Issue number	1
Publication status	Published - Feb 2022

Keywords

@article{00f135297352486e82aaab740f016c92,

title = "Mean-Variance Portfolio Selection with Dynamic Targets for Expected Terminal Wealth",

keywords = "portfolio selection, dynamic mean-variance analysis, time inconsistency, equilibrium strategies",

author = "Xuedong He and Zhaoli Jiang",

year = "2022",

month = feb,

language = "English",

volume = "47",

pages = "587 -- 615",

journal = "Mathematics of Operations Research",

issn = "0364-765X",

publisher = "INFORMS Institute for Operations Research and the Management Sciences",

number = "1",

}

TY - JOUR

T1 - Mean-Variance Portfolio Selection with Dynamic Targets for Expected Terminal Wealth

AU - He, Xuedong

AU - Jiang, Zhaoli

PY - 2022/2

Y1 - 2022/2

KW - portfolio selection

KW - dynamic mean-variance analysis

KW - time inconsistency

KW - equilibrium strategies

M3 - Journal article

SN - 0364-765X

VL - 47

SP - 587

EP - 615

JO - Mathematics of Operations Research

JF - Mathematics of Operations Research

IS - 1

ER -