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Journal articles (1998), Management Science, pp. 79-95

Dynamic Asset Allocation in a Mean-Variance Framework

BAJEUX-BESNAINOU I., PORTAIT Roland

The aim of this article is to analyze portfolio strategies that are mean-variance efficient when continuous rebalancing is allowed. We characterize the " dynamic " efficient frontier, as well as the dynamically efficient policies.

BAJEUX-BESNAINOU, I. and PORTAIT, R. (1998). Dynamic Asset Allocation in a Mean-Variance Framework. Management Science, pp. 79-95.