| Article ID: | iaor20108340 |
| Volume: | 209 |
| Issue: | 2 |
| Start Page Number: | 184 |
| End Page Number: | 201 |
| Publication Date: | Mar 2011 |
| Journal: | European Journal of Operational Research |
| Authors: | Wang J, Forsyth P A |
| Keywords: | finance & banking |
We develop a numerical scheme for determining the optimal asset allocation strategy for time-consistent, continuous time, mean variance optimization. Any type of constraint can be applied to the investment policy. The optimal policies for time-consistent and pre-commitment strategies are compared. When realistic constraints are applied, the efficient frontiers for the pre-commitment and time-consistent strategies are similar, but the optimal investment strategies are quite different.