J. Wang, P. A. Forsyth. Continuous time mean variance asset allocation: A time-consistent strategy. European Journal of Operational Research, 209(2):184-201, 2011. [doi]
@article{WangF11-2,
title = {Continuous time mean variance asset allocation: A time-consistent strategy},
author = {J. Wang and P. A. Forsyth},
year = {2011},
doi = {10.1016/j.ejor.2010.09.038},
url = {http://dx.doi.org/10.1016/j.ejor.2010.09.038},
researchr = {https://researchr.org/publication/WangF11-2},
cites = {0},
citedby = {0},
journal = {European Journal of Operational Research},
volume = {209},
number = {2},
pages = {184-201},
}