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risk and Potential:An Asset Allocation Framework with Applications to Robo-Advising
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Journal of the Operations Research Society of China 2022年 第3期10卷 529-558页
作者： Xiang-Yu Cui Duan Li Xiao Qiao Moris S.Strub School of Statistics and Management Shanghai University of Finance and EconomicsShanghai200437China School of Data Science City University of Hong KongHong KongChina School of Data Science and Hong Kong Institute for Data Science City University of Hong KongHong KongChina Department of Information Systems and Management Engineering Southern University of Science and TechnologyShenzhen518055GuangdongChina
We propose a novel dynamic asset allocation framework based on a family of mean-variance-induced utility functions that alleviate the non-monotonicity and time-inconsistency problems of mean-variance *** utility funct... 详细信息
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