Time consistent policy of multi-period mean-variance
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Publication:2515277
DOI10.3934/jimo.2016.12.229zbMath1318.91178OpenAlexW2073107309MaRDI QIDQ2515277
Zhiping Chen, Gang Li, Jia Liu
Publication date: 31 July 2015
Published in: Journal of Industrial and Management Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3934/jimo.2016.12.229
Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10) Portfolio theory (91G10)
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