Chen, Zhi-ping; Li, Gang; Guo, Ju-e - In: Insurance: Mathematics and Economics 52 (2013) 2, pp. 145-156
requirements of an optimal investment policy will no longer be satisfied. Since the variance operator does not satisfy the … smoothing property, the optimal investment policy derived from the existing multi-period mean–variance model is not time … a time consistent dynamic mean–variance model. We prove that the optimal investment policy derived from our model is …