Time-consistent investment policies in Markovian markets: a case of mean-variance analysis (Q1994404)

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Time-consistent investment policies in Markovian markets: a case of mean-variance analysis
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    Time-consistent investment policies in Markovian markets: a case of mean-variance analysis (English)
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    1 November 2018
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    dynamic time consistency
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    mean-variance analysis
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    Markovian markets
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    optimal investment policy
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    Lagrange multiplier method
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