Dynamic Asset Allocation in a Mean-Variance Framework

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.