Journal article
Robo-advising: a dynamic mean-variance approach
- Abstract:
- In contrast to traditional financial advising, robo-advising needs to elicit investors’ risk profile via several simple online questions and provide advice consistent with conventional investment wisdom, e.g., rich and young people should invest more in risky assets. To meet the two challenges, we propose to do the asset allocation part of robo-advising using a dynamic mean-variance criterion over the portfolio’s log returns. We obtain analytical and time-consistent optimal portfolio policies under jump-diffusion models and regime-switching models.
- Publication status:
- Published
- Peer review status:
- Peer reviewed
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- Publisher copy:
- 10.1007/s42521-021-00028-4
Authors
+ National Natural Science Foundation of China
More from this funder
- Funder identifier:
- https://ror.org/01h0zpd94
- Publisher:
- Springer
- Journal:
- Digital Finance More from this journal
- Volume:
- 3
- Issue:
- 2
- Pages:
- 81-97
- Publication date:
- 2021-06-16
- Acceptance date:
- 2021-02-07
- DOI:
- EISSN:
-
2524-6186
- ISSN:
-
2524-6984
- Language:
-
English
- Keywords:
- Pubs id:
-
1781990
- Local pid:
-
pubs:1781990
- Deposit date:
-
2026-01-21
- ARK identifier:
Terms of use
- Copyright holder:
- Dai et al.
- Copyright date:
- 2021
- Rights statement:
- Copyright © 2021, The Author(s), under exclusive licence to Springer Nature Switzerland AG
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