MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE‐DEPENDENT RISK AVERSION (Q5411392)
From MaRDI portal
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 |
Statements
MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE‐DEPENDENT RISK AVERSION (English)
0 references
23 April 2014
0 references
mean-variance
0 references
time inconsistency
0 references
time-inconsistent control
0 references
dynamic programming
0 references
stochastic control
0 references
Hamilton-Jacobi-Bellman equation
0 references
