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Time-Consistent Portfolio Selection Under Short-Selling Prohibition: From Discrete to Continuous Setting
In this paper, we study the time consistent strategies in the mean-variance portfolio selection with short-selling prohibition in both discrete and continuous time settings. Recently, [T. Björk, A. Murgoci, and X. Y. Zhou, ...
A Paradox in Time-Consistency in the Mean-Variance Problem?
(Springer Heidelberg, 2018-12-19)
We establish new conditions under which a constrained (no short-selling) time-consistent equilibrium strategy, starting at a certain time, will beat the unconstrained counterpart, as measured by the magnitude of their ...