most citedMean-Variance Policy for Discrete-time Cone Constrained Markets: The Consistency in Efficiency and Minimum-Variance Signed Supermartingale Measure

10 citations · 10 across the 1 of their papers we have counts for

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1 paper

q-fin.PM2014★ 10 cited

Mean-Variance Policy for Discrete-time Cone Constrained Markets: The Consistency in Efficiency and Minimum-Variance Signed Supermartingale Measure

Xiangyu Cui, Duan Li, Xun Li

The discrete-time mean-variance portfolio selection formulation, a representative of general dynamic mean-risk portfolio selection problems, does not satisfy time consistency in ef…