MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE‐DEPENDENT RISK AVERSION (Q5411392): Difference between revisions
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scientific article; zbMATH DE number 6287491
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE‐DEPENDENT RISK AVERSION |
scientific article; zbMATH DE number 6287491 |
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MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE‐DEPENDENT RISK AVERSION (English)
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23 April 2014
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mean-variance
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time inconsistency
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time-inconsistent control
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dynamic programming
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stochastic control
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Hamilton-Jacobi-Bellman equation
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