Continuous time mean variance asset allocation: a time-consistent strategy (Q621709): Difference between revisions

@@ Property / author @@
+Peter A. I. Forsyth
@@ Property / author: Peter A. I. Forsyth / rank @@
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+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
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@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.ejor.2010.09.038
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@@ Property / OpenAlex ID @@
+W2056981121
@@ Property / OpenAlex ID: W2056981121 / rank @@
+Normal rank
@@ Property / cites work @@
+CONVERGENCE OF NUMERICAL SCHEMES FOR PARABOLIC EQUATIONS ARISING IN FINANCE THEORY
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+CONTINUOUS-TIME MEAN-VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION
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+MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE‐DEPENDENT RISK AVERSION
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