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Chi Seng Pun

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Oct 2026

Dynamic Mean-Variance Asset Allocation in General Incomplete Markets

Abstract. This paper studies dynamic mean-variance (MV) asset allocation problems in general incomplete markets. Besides the conventional MV objective on a portfolio’s terminal wealth, our framework can accommodate running MV objectives with general (nonexponential) discounting factors and, in general, any time-depend...

Qian Lei, Chi Seng Pun, Jing-Xiang Tang · 0 citations

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