Continuous time mean-variance portfolio optimization with piecewise state-dependent risk aversion (Q518137): Difference between revisions

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+Coherent multiperiod risk adjusted values and Bellman's principle
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+A theory of Markovian time-inconsistent stochastic control in discrete time
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+MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE‐DEPENDENT RISK AVERSION
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+BETTER THAN DYNAMIC MEAN‐VARIANCE: TIME INCONSISTENCY AND FREE CASH FLOW STREAM
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+Time-Inconsistent Stochastic Linear--Quadratic Control
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+VALUATIONS AND DYNAMIC CONVEX RISK MEASURES
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+Optimal Dynamic Portfolio Selection: Multiperiod Mean-Variance Formulation
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+Risk measures via \(g\)-expectations
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+Continuous time mean variance asset allocation: a time-consistent strategy
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+Time-consistent strategies for a multiperiod mean-variance portfolio selection problem
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+Continuous-time mean-variance portfolio selection: a stochastic LQ framework
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