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• W2960910231 abstract "In this paper, we discuss several different styles of multi-period mean-variance portfolio optimization problems under the serially correlated returns. We derive the time-consistent strategies for the classical multi-period mean-variance optimization with and without risk-free asset using a backward induction approach. We also propose an alternative multi-period mean-variance model, and the corresponding time-consistent strategies are derived. Whereafter, we provide some portfolio evaluation indexes and perform extensive empirical studies based on real data, aiming to provide useful advice for investors. To a large extent, the empirical results answer one important and practical question: in actual investment situations, which strategy is preferred by different investors?" @default.
• W2960910231 created "2019-07-23" @default.
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• W2960910231 date "2019-07-08" @default.
• W2960910231 modified "2023-10-18" @default.
• W2960910231 title "Time-consistent strategies for multi-period mean-variance portfolio optimization with the serially correlated returns" @default.
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• W2960910231 doi "https://doi.org/10.1080/03610926.2019.1636999" @default.
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