Dynamic Mean-Risk Asset Allocation and Myopic Strategies: A Universal Portfolio Rule


In a market that consists of multiple stocks and one risk-free asset whose expected return rates and volatility are deterministic, we study a continuous-time mean-risk portfolio selection problem in which an agent is subject... [ view full abstract ]


  1. Xuedong He (The Chinese University of Hong Kong)
  2. Zhaoli Jiang (The Chinese University of Hong Kong)

Topic Areas

Asset Allocation , Mean-Variance , Portfolio Theory


TU-A-B1 » Mean-Risk Asset Allocation (11:30 - Tuesday, 17th July, Beckett 1)

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