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"The surprising robustness of dynamic Mean-Variance portfolio optimization ..."

Pieter M. van Staden, Duy-Minh Dang, Peter A. Forsyth (2021)

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DOI: 10.1016/J.EJOR.2020.07.021

access: closed

type: Journal Article

metadata version: 2020-11-23

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Pieter M. van Staden, Duy-Minh Dang, Peter A. Forsyth:
The surprising robustness of dynamic Mean-Variance portfolio optimization to model misspecification errors. Eur. J. Oper. Res. 289(2): 774-792 (2021)

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