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- W3124854273 abstract "We solve the dynamic mean-variance portfolio problem and derive its time-consistent solution using dynamic programming. Previous literature, in contrast, only determines either myopic or precommitment (committing to follow the initially optimal policy) solutions. We provide a fully analytical simple characterization of the dynamically optimal mean-variance portfolios within a general incomplete-market economy. We also identify a probability measure that incorporates intertemporal hedging demands and facilitates tractability. We illustrate this by easily computing portfolios explicitly under various stochastic investment opportunities. A calibration exercise shows that the mean-variance hedging demands are economically significant." @default.
- W3124854273 created "2021-02-01" @default.
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- W3124854273 date "2010-05-18" @default.
- W3124854273 modified "2023-10-12" @default.
- W3124854273 title "Dynamic Mean-Variance Asset Allocation" @default.
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- W3124854273 doi "https://doi.org/10.1093/rfs/hhq028" @default.
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