Better Than Pre-Commitment Mean-Variance Portfolio Allocation Strategies: Hamilton-Jacobi-Bellman Equations, Viscosity Solutions, and Semi-Self-Financing Strategies
SpeakerDuy-Minh DangUniversity of Torontohttp://utoronto.academia.edu/DuyDang Description Pre-commitment mean-variance (MV) criteria are very popular for portfolio optimization problems, due to their...