Mean-Quadratic Variation Portfolio Optimization: A Desirable Alternative to Time-Consistent Mean-Variance Optimization?

Pieter M. van Staden, Duy Minh Dang, Peter A. Forsyth. Mean-Quadratic Variation Portfolio Optimization: A Desirable Alternative to Time-Consistent Mean-Variance Optimization?. SIAM J. Financial Math., 10(3):815-856, 2019. [doi]

Abstract

Abstract is missing.